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Dynamic optimal portfolio choice under time-varying risk aversion

Díaz Pérez, Antonio; Esparcia, Carlos - In: International economics : a journal published by CEPII … 166 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10013193280

Risk, ambiguity, and equity premium : international evidence

Kim, Eung-Bin; Byun, Suk Joon - In: International review of economics & finance : IREF 76 (2021), pp. 321-335

Persistent link: https://www.econbiz.de/10013175824

The Asset Pricing Implications of Plausible Deniability

Back, Kerry; Carlin, Bruce; Kazempour, Seyed Mohammad - 2021

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...

Persistent link: https://www.econbiz.de/10013243558

Saving-based asset pricing and leisure

Dreyer, Johannes Kabderian; Schneider, Johannes; Smith, … - In: Annals of economics and finance 21 (2020) 2, pp. 507-526

Persistent link: https://www.econbiz.de/10012647888

Can unpredictable risk exposure be priced?

Barahona, Ricardo; Driessen, Joost; Frehen, Rik - In: Journal of financial economics 139 (2021) 2, pp. 522-544

Persistent link: https://www.econbiz.de/10012693684

Theoretical asset pricing under behavioral decision making

Vries, Martijn Alexander de - 2022

Persistent link: https://www.econbiz.de/10013263004

The Asset Pricing Implications of Plausible Deniability

Back, Kerry E.; Carlin, Bruce Ian; Kazempour, Seyed Mohammad - National Bureau of Economic Research - 2021

We derive the effect of plausible deniability on asset risk premia in a dynamic setting with correlated firm values, systematic risk, and risk-averse investors. Firms optimally exercise American disclosure options, which are more valuable due to the possibility that other correlated firms may...

Persistent link: https://www.econbiz.de/10012482566

Mean-variance portfolio selection with non-negative state-dependent risk aversion

Wang, Tianxiao; Zhuo, Jin; Wei, Jiaqin - In: Quantitative finance 21 (2021) 4, pp. 657-671

Persistent link: https://www.econbiz.de/10012483844

Asset pricing with index investing

Chabakauri, Georgy; Ryčkov, Oleg - 2020

Persistent link: https://www.econbiz.de/10012487343

European equity markets : who is the truly representative investor?

Rojo Suárez, Javier; Alonso Conde, Ana Belén; Ferrero … - In: The quarterly review of economics and finance : journal … 75 (2020), pp. 325-346

Persistent link: https://www.econbiz.de/10012416960

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