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Do recent stochastic tools help to better understand investors' preference and asset allocation?
Ciupac-Ulici, Maria-Lenuţa; Gherman, Mircea-Cristian; … - In: The journal of applied business research 30 (2014) 5, pp. 1449-1456
Persistent link: https://www.econbiz.de/10010470517
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Optimal portfolio in the presence of transaction costs and convex risk measure
Doctor, O.; Offen, E. R.; Lungu, E. M. - In: International journal of financial engineering 4 (2017) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011807095
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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A stochastic dominance approach to pension-fund selection
Kopa, Miloš; Kabašinskas, Audrius; Šutienė, Kristina - In: IMA journal of management mathematics 33 (2022) 1, pp. 139-160
Persistent link: https://www.econbiz.de/10012654796
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Robust decision making using a general utility set
Hu, Jian; Bansal, Manish; Mehrotra, Sanjay - In: European journal of operational research : EJOR 269 (2018) 2, pp. 699-714
Persistent link: https://www.econbiz.de/10011864436
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Portfolio selection in stochastic markets with HARA utility functions
Çanakoğlu, Ethem; Özekici, Süleyman - In: European journal of operational research : EJOR 201 (2010) 2, pp. 520-536
Persistent link: https://www.econbiz.de/10003924825
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Mean-variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010356733
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Portfolio optimization with stochastic dominance constraints
Dentcheva, Darinka; Ruszczyński, Andrzej P. - In: Journal of banking & finance 30 (2006) 2, pp. 433-451
Persistent link: https://www.econbiz.de/10003291283
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Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - first version: March 6, 2014; this version: August 4, 2014
Persistent link: https://www.econbiz.de/10010440677
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Optimal consumption for recursive preferences with local substitution under risk
Li, Hanwu; Riedel, Frank - 2024
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...
Persistent link: https://www.econbiz.de/10015066357