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Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion

Gonzalo, Jesús; Olmo, Jose - 2016

Persistent link: https://www.econbiz.de/10011541391

On a discrete-time risk model with claim correlated premiums

Wu, Xueyuan; Chen, Mi; Guo, Junyi; Jin, Can - In: Annals of actuarial science : publ. by the Institute of … 9 (2015) 2, pp. 322-342

Persistent link: https://www.econbiz.de/10011542048

Mean-variance utility

Nakamura, Yutaka - In: Journal of economic theory 160 (2015), pp. 536-556

Persistent link: https://www.econbiz.de/10011549547

Nonlinear time varying risk aversion and strategic optimal portfolio allocation

Olmo, Jose - 2015

Persistent link: https://www.econbiz.de/10011412827

Risk averse supply portfolio selection with supply, demand and spot market volatility

Merzifonluoglu, Yasemin - In: Omega : the international journal of management science 57 (2015), pp. 40-53

Persistent link: https://www.econbiz.de/10011416051

Bank capital adequacy for average market financial risk

Azar, Samih Antoine - In: The empirical economics letters : a monthly … 14 (2015) 6, pp. 631-635

Persistent link: https://www.econbiz.de/10011419189

Currency portfolios and currency exchange in a search economy

Craig, Ben R.; Waller, Christopher - 2001

We develop a dual currency search model to study equilibrium currency exchange and the determination of nominal exchange rates. Agents hold portfolios consisting of two distinct currencies. We study equilibria in which the two currencies are identical and equilibria in which the two currencies...