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Risk aversion and optimal portfolio policies in partial and general equilibrium economies
Kogan, Leonid; Uppal, Raman - 2001
Persistent link: https://www.econbiz.de/10001628686
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Risk aversion and optimal portfolio policies in partial and general equilibrium economies
Kogan, Leonid (contributor); Uppal, Raman (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001795677
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Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
Kogan, Leonid - 2001
In this article, we show how to analyze analytically the equilibrium policies and prices in an economy with a stochastic investment opportunity set and incomplete financial markets, when agents have power utility over both intermediate consumption and terminal wealth, and face portfolio...
Persistent link: https://www.econbiz.de/10012470107
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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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Optimal consumption and portfolio decisions with partially observed real prices
Bensoussan, Alain; Keppo, Jussi; Sethi, Suresh P. - In: Mathematical finance : an international journal of … 19 (2009) 2, pp. 215-236
Persistent link: https://www.econbiz.de/10003827575
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Optimal investment and consumption models with non-linear stock dynamics
Zariphopoulou-Souganidis, Thaleia - In: Mathematical methods of operations research 50 (1999) 2, pp. 271-296
Persistent link: https://www.econbiz.de/10001428783
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Heterogeneous beliefs, limited participation and flight-to-quality
Huang, Hui; Wang, Yanjie; Zhang, Shunming - In: Annals of economics and finance 22 (2021) 2, pp. 467-524
Persistent link: https://www.econbiz.de/10013350878
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Misery loves company : equilibrium portfolios with heterogeneous consumption externalities
Gollier, Christian - In: International economic review 45 (2004) 4, pp. 1169-1192
Persistent link: https://www.econbiz.de/10002427900
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Value-at-risk-based risk management : optimal policies and asset prices
Başak, Suleyman; Shapiro, Alex - In: The review of financial studies 14 (2001) 2, pp. 371-405
Persistent link: https://www.econbiz.de/10001570567
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Value-at-risk based risk management : optimal policies and asset prices
Basak, Suleyman; Shapiro, Alex - 1998
Persistent link: https://www.econbiz.de/10001374712