Debates persist among academics, regulators, practitioners, and standard setters regarding the extent to which different asset measurement methods aid investment decisions. Surprisingly, evidence of actual resource providers’ views on this issue is sparse. We survey 528 and interview 13...

Challenges to the empirical implementation of portfolio optimization abound, leading to a recent focus upon the naïve equally weighted portfolio as asset allocation benchmark. In this paper, we extend the performance analysis of the naïve allocation approach to encompass data both within and...

Traditionelle Derivatbewertung -- Bewertung auf unvollständigen Märkten -- Wachstumsmaximierung -- Wachstumsorientierte Portfolioplanung -- Wachstumsorientierte Bewertung -- Wachstumsorientierte Reservationspreise -- Zusammenfassung.

We present a framework for multi-objective optimization where the classical mean-variance portfolio model is extended to integrate the environmental, social and governance (ESG) criteria on the same playing field as risk and return and, at the same time, to reflect the investors' preferences in...

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...

Derivamos las condiciones para la elección óptima de cartera bajo una utilidad con aversión al riesgo relativo constante y distribuciones de probabilidad alternativas que son capaces de capturar las caraterísticas de asimetría y curtosis de los rendimientos de los activos financieros....