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  • Search: subject:"Power utility function"
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Year of publication
Subject
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power utility function 4 CAPM 2 International CAPM 2 Nutzenfunktion 2 Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 Utility function 2 assets pricing 2 hyperbolic utility function 2 negative exponential utility function 2 risk measure 2 truncated Taylor approximation 2 Aktienmarkt 1 Burr3 distribution 1 CCAPM 1 Capital income 1 Caps and floors 1 Consumer behaviour 1 Consumer confidence index 1 Consumption theory 1 EU countries 1 EU-Staaten 1 Estimation 1 Europa 1 Europe 1 European equity market 1 Generalized beta distribution 1 Generalized gamma distribution 1 Großbritannien 1 Kapitaleinkommen 1 Konsumentenverhalten 1 Konsumtheorie 1 Nutzen 1 Portfolio optimization 1 Power utility function 1 Private consumption 1 Privater Konsum 1 Real-world density 1
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Online availability
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Undetermined 3 Free 2
Type of publication
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Article 5
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Article 1
Language
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English 4 Undetermined 1
Author
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Bedoui, Rihab 2 BenMabrouk, Houda 2 Albota, George 1 Alonso-Conde, Ana Belén 1 Atkinson, Colin 1 Fabozzi, Frank 1 Ferrero-Pozo, Ricardo 1 Quek, Gary 1 Rojo-Suárez, Javier 1 Tunaru, Radu 1
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Published in...
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Applied mathematical finance 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Quantitative Finance 1 The European journal of finance 1
Source
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ECONIS (ZBW) 3 EconStor 1 RePEc 1
Showing 1 - 5 of 5
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Can the seasonal pattern of consumption growth reproduce habits in the cross-section of stock returns? : evidence from the European equity market
Rojo-Suárez, Javier; Alonso-Conde, Ana Belén; … - In: The European journal of finance 27 (2021) 8, pp. 721-739
Persistent link: https://www.econbiz.de/10012516122
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CAPM with various utility functions: Theoretical developments and application to international data
Bedoui, Rihab; BenMabrouk, Houda - In: Cogent Economics & Finance 5 (2017) 1, pp. 1-21
: the negative exponential utility function, power utility function or 'Constant Relative Risk Aversion (CRRA) Utilities …
Persistent link: https://www.econbiz.de/10011988769
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CAPM with various utility functions : theoretical developments and application to international data
Bedoui, Rihab; BenMabrouk, Houda - In: Cogent economics & finance 5 (2017) 1, pp. 1-21
: the negative exponential utility function, power utility function or “Constant Relative Risk Aversion (CRRA) Utilities …
Persistent link: https://www.econbiz.de/10011882295
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Portfolio selection in discrete time with transaction costs and power utility function : a perturbation analysis
Quek, Gary; Atkinson, Colin - In: Applied mathematical finance 24 (2017) 1/2, pp. 77-111
Persistent link: https://www.econbiz.de/10011746994
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Estimating risk-neutral density with parametric models in interest rate markets
Fabozzi, Frank; Tunaru, Radu; Albota, George - In: Quantitative Finance 9 (2009) 1, pp. 55-70
The departure in modelling terms from the log-normal distribution for option pricing has been largely driven by empirical observations on skewness. In recent years, the Weibull and generalized beta distributions have been used to fit the risk-neutral density from option prices. In this article,...
Persistent link: https://www.econbiz.de/10005462686
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