Search Results - subject:"Mean–variance"

Beyond information: Disclosure, distracted attention, and investor behavior / Adrian Hillenbrand

Hillenbrand, Adrian; Schmelzer, André - 2015

Financial disclosure documents provide investors with product details to facilitate informed investment decisions. We investigate whether the appearance - the visual frame - of disclosure documents impacts risk and return expectations and investment behavior. In our experiment, subjects decide...

Persistent link: https://www.econbiz.de/10011522105

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative Economics 6 (2015) 2, pp. 309-358

factors, Markowitz–Fama mean–variance sets for asset portfolio returns, and the set of structural elasticities in Chetty …

Persistent link: https://www.econbiz.de/10011599678

Beyond the local mean-variance analysis in continuous time: The problem of non-normality

Aase, Knut K.; Lillestøl, Jostein - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015

The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...

Persistent link: https://www.econbiz.de/10011185411

Foreign Bias in Australian Domiciled Mutual Fund Holdings

Mishra, Anil V - Volkswirtschaftliche Fakultät, … - 2015

worldwide, over the period 2002 to 2012, by employing various models i.e. International Capital Asset Pricing, Mean-Variance …

Persistent link: https://www.econbiz.de/10011234846

Quadratic hedging of basis risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 83-102

-minimizing strategy. Furthermore, since the mean-variance tradeoff process is deterministic in our setup, the minimal martingale- and … variance-optimal martingale measures coincide. Consequently, the mean-variance optimal strategy is easily constructed. Simple …

Persistent link: https://www.econbiz.de/10011843253

Quadratic Hedging of Basis Risk

Hulley, Hardy; McWalter, Thomas A. - In: Journal of Risk and Financial Management 8 (2015) 1, pp. 83-102

Persistent link: https://www.econbiz.de/10011152642

Beyond information : disclosure, distracted attention, and investor behavior

Hillenbrand, Adrian; Schmelzer, André - 2015 - Working paper version: December 2015

Persistent link: https://www.econbiz.de/10011416914

Diversification, risk aversion and expectation in a holdout scenario

Eggert, Wolfgang; Stephan, Maximilian; Temme, Janine; … - 2015 - Version 2015/10/09

is characterised by the mean-variance approach. We investigate intercreditor conflict by diverse portfolio structure. We …

Persistent link: https://www.econbiz.de/10011343761

Risk-return trade-off in emerging markets : evidence from Dhaka Stock Exchange Bangladesh

Mollik, Abu Taher; Bepari, M. Khokan - In: Australasian accounting business and finance journal : AABF 9 (2014) 1, pp. 71-88

Persistent link: https://www.econbiz.de/10010520223

Inference on sets in finance

Chernozhukov, Victor; Kocatulum, Emre; Menzel, Konrad - In: Quantitative economics : QE ; journal of the … 6 (2015) 2, pp. 309-358

factors, Markowitz–Fama mean–variance sets for asset portfolio returns, and the set of structural elasticities in Chetty …

Persistent link: https://www.econbiz.de/10011757699