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Robust decisions for heterogeneous agents via certainty equivalents

Balter, Anne G.; Schweizer, Nikolaus - In: European journal of operational research : EJOR 317 (2024) 1, pp. 171-184

Persistent link: https://www.econbiz.de/10014634766

Modeling project interactions in multiattribute portfolio decision analysis : axiomatic foundations and practical implications

Liesiö, Juuso; Kee, Taeyoung; Malo, Pekka - In: European journal of operational research : EJOR 316 (2024) 3, pp. 988-1000

Persistent link: https://www.econbiz.de/10014576903

Decision programming for mixed-integer multi-stage optimization under uncertainty

Salo, Ahti A.; Andelmin, Juho; Oliveira, Fabricio - In: European journal of operational research : EJOR 299 (2022) 2, pp. 550-565

Persistent link: https://www.econbiz.de/10013207138

Optimal decision of dynamic wealth allocation with life insurance for mitigating health risk under market incompleteness

Chen, Chang-Chih; Chang, Chia-Chien; Sun, Edward W.; … - In: European journal of operational research : EJOR 300 (2022) 2, pp. 727-742

Persistent link: https://www.econbiz.de/10013207301

Fundamental driver of fund style drift

Galloppo, Giuseppe; Trovato, Giovanni - In: The journal of asset management 18 (2017) 2, pp. 99-123

Persistent link: https://www.econbiz.de/10011694987

Chapter 10 Arbitrage, state prices and portfolio theory

Dybvig, Philip H.; Ross, Stephen A. - 2003

preferences, and solving them for probabilities gives us beliefs. We look at two popular asset pricing models, the CAPM and the … APT, as well as complete-markets pricing. In the case of the CAPM, the first-order conditions link nicely to the …

Persistent link: https://www.econbiz.de/10014023861

Portfolio choice of financial investors and European business cycle convergence : a panel analysis for EU countries

Belke, Ansgar; Schneider, Jennifer - 2013

We investigate the linkage between business cycle convergence and financial portfolio choice for a panel of 18 EU countries. We construct an index of similarity of financial portfolios which we then put into context with the view that “the financial world” has an impact on business cycles...

Persistent link: https://www.econbiz.de/10010255115

How do principal-agent effects in delegated portfolio management affect asset prices?

Kolm, Petter N. - In: Journal of mathematical finance 3 (2013) 4, pp. 407-415

Persistent link: https://www.econbiz.de/10010239523

Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs

Buss, Adrian; Uppal, Raman; Vilkov, Grigory - 2014 - This version: February 15, 2014

In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has...

Persistent link: https://www.econbiz.de/10010250161

From the horse's mouth : economic conditions and investor expectations of risk and return

Amromin, Gene; Sharpe, Steven A. - In: Management science : journal of the Institute for … 60 (2014) 4, pp. 845-866

Persistent link: https://www.econbiz.de/10010347837