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An investment based valuation approach for pension fund cash flows
Tobler-Oswald, Jürg (contributor) - 2006
Persistent link: https://www.econbiz.de/10003364134
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Conditions ensuring the decomposition of asset demand for all risk-averse investors
Dachraoui, Kaïs; Dionne, Georges - In: The European journal of finance 13 (2007) 5/6, pp. 397-404
Persistent link: https://www.econbiz.de/10003570541
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The measure of relative risk aversion in the consumption CAPM with power utility
Semenov, Andrei - In: Applied financial economics letters 2 (2006) 2, pp. 111-114
Persistent link: https://www.econbiz.de/10003302517
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The two-fund separation theorem revisited
Wenzelburger, Jan - In: Annals of finance 6 (2010) 2, pp. 221-239
Persistent link: https://www.econbiz.de/10003941216
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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62
Persistent link: https://www.econbiz.de/10011538973
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Explaining asset prices with low risk aversion and low intertemporal substitution
Andreasen, Martin Møller; Jørgensen, Kasper - 2016
Persistent link: https://www.econbiz.de/10011474816
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Understanding dynamic mean variance asset allocation
Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 254 (2016) 1, pp. 320-337
Persistent link: https://www.econbiz.de/10011503312
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Nonlinear time varying risk aversion and strategic optimal portfolio allocation
Olmo, Jose - 2015
Persistent link: https://www.econbiz.de/10011412827
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Long horizons, high risk aversion, and endogenous spreads
Guasoni, Paolo; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 724-753
Persistent link: https://www.econbiz.de/10011350524
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Dynamic portfolio selection with mispricing and model ambiguity
Yi, Bo; Viens, Frederi G.; Law, Baron; Li, Zhongfei - In: Annals of finance 11 (2015) 1, pp. 37-75
Persistent link: https://www.econbiz.de/10011376170