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Pricing perpetual American compound options under a matrix-exponential jump-diffusion model
Chang, Ming-Chi; Sheu, Yuan-Chung; Tsai, Ming-Yao - In: Applied mathematical finance 22 (2015) 5/6, pp. 553-575
Persistent link: https://www.econbiz.de/10011490624
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Pricing European continuous-installment currency options with mean-reversion
Jeon, Junkee; Kim, Geonwoo - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013413559
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Finite horizon portfolio selection with durable goods
Jeon, Junkee; Koo, Hyeng-keun; Park, Kyunghyun - In: Mathematical social sciences 111 (2021), pp. 55-67
Persistent link: https://www.econbiz.de/10012615622
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Optimal retirement and portfolio selection with consumption ratcheting
Jeon, Junkee; Park, Kyunghyun - In: Mathematics and financial economics 14 (2020) 3, pp. 353-397
Persistent link: https://www.econbiz.de/10012240299
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Investor behavior and filter rule revisiting
Liu, Zhenya; Zhan, Yaosong - In: Journal of behavioral and experimental finance 33 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013442201
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Optimal portfolio choice for investors with industry-specific labor income risks
Tsai, Hui-Ju; Wu, Yangru - In: Finance research letters 11 (2014) 4, pp. 429-436
Persistent link: https://www.econbiz.de/10011300433
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Twin picks : disentangling the determinants of risk-taking in household portfolios
Calvet, Laurent E.; Sodini, Paolo - 2013
This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital,...
Persistent link: https://www.econbiz.de/10010225980
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Why does junior put all his eggs in one basket? : a potential rational explanation for holding concentrated portfolios
Roche, Hervé; Tompaidis, Stathis; Yang, Chunyu - In: Journal of financial economics 109 (2013) 3, pp. 797-812
Persistent link: https://www.econbiz.de/10010205328
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Predictors and portfolios over the life cycle : generalization of SAMS to state-dependent modifiers
Weiss, Farina - In: Essays on empirical asset pricing and …, (pp. 109-157). 2017
Persistent link: https://www.econbiz.de/10012306088
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Intertemporal optimal portfolio choice based on labor income within shadow costs of incomplete information and short sales
Bellalah, Mondher; Xu, Yaosheng; Zhang, Detao - In: Decision making and risk/return optimization in …, (pp. 397-422). 2019
Persistent link: https://www.econbiz.de/10012135890