Search Results - subject:"CARA utility"

Laurila, Hannu; Ilomäki, Jukka - In: Journal of Risk and Financial Management 13 (2020) 12, pp. 1-10

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...

Persistent link: https://www.econbiz.de/10012611556

Inflation and risky investments

Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10

Persistent link: https://www.econbiz.de/10012403996

Global optimal consumption-portfolio rules with myopic preferences and loss aversion

Yue, Jia; Wang, Ming-Hui; Huang, Nan-Jing - In: Computational economics 60 (2022) 4, pp. 1427-1455

Persistent link: https://www.econbiz.de/10013447447

Huggett economies with multiple stationary equilibria

Akira Toda, Alexis - In: Journal of economic dynamics & control 84 (2017), pp. 77-90

Persistent link: https://www.econbiz.de/10011916173

Do Taxes Matter in the CAPM?

Kruschwitz, Lutz; Löffler, Andreas - In: BuR - Business Research 2 (2009) 2, pp. 171-178

The traditional literature on the CAPM assumes that investor's tax payments simply vanish from the model. This assumption is not at all consistent with the actual behavior of the Treasury. The theory of general equilibrium states that an interest rate rf = 0 will not affect prices if taxes are...

Persistent link: https://www.econbiz.de/10010421340

Do Taxes Matter in the CAPM?

Kruschwitz, Lutz; Löffler, Andreas - 2009

Persistent link: https://www.econbiz.de/10009447474

Do Taxes Matter in the CAPM?

Kruschwitz, Lutz; Löffler, Andreas - In: BuR - Business Research 2 (2009) 2, pp. 171-178

: CAPM, Tax-CAPM, equilibrium, taxes, CARA utility Manuscript received June 13, 2009, accepted by Rainer Niemann (Accounting … pricesaredependentonthetaxrate,thentherisk- free interest rate may not vanish and there may be no CARA utility functions. For such an example we … reasoning. However, neither vanishing interest rates nor CARA utility functions are re- alistic cases. Since there seems to be …

Persistent link: https://www.econbiz.de/10010615520

Optimal investment for the insurers in Markov-modulated jump-diffusion models

Li, Jinzhi; Liu, Haiying - In: Computational economics 46 (2015) 1, pp. 143-156

Persistent link: https://www.econbiz.de/10011441047

Optimal investment and risk control policies for an insurer: Expected utility maximization

Zou, Bin; Cadenillas, Abel - In: Insurance: Mathematics and Economics 58 (2014) C, pp. 57-67

Motivated by the AIG bailout case in the financial crisis of 2007–2008, we consider an insurer who wants to maximize his/her expected utility of terminal wealth by selecting optimal investment and risk control strategies. The insurer’s risk process is modeled by a jump-diffusion process and...

Persistent link: https://www.econbiz.de/10010930903

Optimal investment and risk control policies for an insurer : expected utility maximization

Zou, Bin; Cadenillas, Abel - In: Insurance / Mathematics & economics 58 (2014), pp. 57-67

Persistent link: https://www.econbiz.de/10010437631