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Search: subject:"Two-fund separation"
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two-fund separation
10
CAPM
7
Two-fund separation
7
Portfolio selection
6
Portfolio-Management
4
Theorie
4
Theory
4
Two-fund separation theorem
3
core solutions
3
extremal convolution
3
market or production games
3
mutual insurance
3
securities
3
transferable utility
3
variance or risk aversion
3
Background risk
2
CAPM excess return formula
2
Capital income
2
Dispersion of utility
2
Dynamic programming
2
Erwartungsnutzen
2
Expected utility
2
HARA utility
2
Kapitaleinkommen
2
Mean utility
2
Portfolio choice
2
Portfolio frontier
2
Regime switching
2
Risk aversion
2
Uncertainty aversion
2
VIX
2
Weak-separability
2
Zero-Beta CAPM
2
active investment
2
borrowing restrictions
2
excess returns
2
hedging effect
2
hidden markov model
2
investment effect
2
positive marginal utility
2
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Online availability
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Free
10
Undetermined
9
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Article
13
Book / Working Paper
11
Type of publication (narrower categories)
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Article in journal
4
Aufsatz in Zeitschrift
4
Working Paper
4
Arbeitspapier
1
Graue Literatur
1
Non-commercial literature
1
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Undetermined
13
English
10
German
1
Author
All
Borglin, Anders
3
Breuer, Wolfgang
2
Chambers, Robert G.
2
Chen, Shumin
2
Dapena, José P.
2
Dionne, Georges
2
Flåm, Sjur
2
Grant, Simon
2
Gürtler, Marc
2
Hens, Thorsten
2
Li, Zhongfei
2
Polak, Ben
2
Serur, Juan Andrés
2
Siri, Julián R.
2
Yao, Haixiang
2
Boyle, Phelim P.
1
CHRISTENSEN, MORTEN MOSEGAARD
1
Cui, Xiangyu
1
Dachraoui, Kais
1
Dachraoui, Kaïs
1
De Giorgi, Enrico
1
Didrik Flåm, Sjur
1
Dybvig, Philip H.
1
Flåm, Sjur Didrik
1
Guo, Zion
1
Huang, Hsin-Yi
1
Huang, Hung-Hsi
1
Huang, Hung-hsi
1
Li, Duan
1
Ma, Chenghu
1
Mayer, Janos
1
PLATEN, ECKHARD
1
Quiggin, John
1
Quiggin, John C.
1
Reimann, Stefan
1
Ruffino, Doriana
1
Shi, Yun
1
Vogt, Bodo
1
Wang, Ching-Ping
1
Wang, Ching-ping
1
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Institution
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
1
Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
1
Federal Reserve Board (Board of Governors of the Federal Reserve System)
1
Institut für Volkswirtschaftslehre, Wirtschaftswissenschaftliche Fakutät
1
Institutt for Økonomi, Universitetet i Bergen
1
Nationalekonomiska Institutionen, Ekonomihögskolan
1
Published in...
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Journal of Economic Theory
2
Working Paper
2
Cahiers de recherche
1
Economic Modelling
1
Economic modelling
1
Finance Research Letters
1
Finance and Economics Discussion Series
1
IEW - Working Papers
1
International Journal of Theoretical and Applied Finance (IJTAF)
1
Journal for Economic Forecasting
1
Journal of Mathematical Economics
1
Journal of economic dynamics & control
1
Journal of economic theory
1
Serie Documentos de Trabajo
1
Serie documentos de trabajo
1
The European Journal of Finance
1
The North American Journal of Economics and Finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
Working Paper Series
1
Working Papers / Department Wirtschaftswissenschaften, Technische Universität Carolo-Wilhelmina zu Braunschweig
1
Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan
1
Working Papers in Economics
1
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Source
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RePEc
16
ECONIS (ZBW)
5
EconStor
3
Showing
1
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10
of
24
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articles prioritized
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date (oldest first)
1
Risk on-risk off: A regime switching model for active portfolio management
Dapena, José P.
;
Serur, Juan Andrés
;
Siri, Julián R.
-
2019
management and the
two
fund
separation
approach, to exploit the fact that an investor can switch between the market portfolio and …
Persistent link: https://www.econbiz.de/10012609510
Saved in:
2
Risk on-risk off : a regime switching model for active portfolio management
Dapena, José P.
;
Serur, Juan Andrés
;
Siri, Julián R.
-
2019
management and the
two
fund
separation
approach, to exploit the fact that an investor can switch between the market portfolio and …
Persistent link: https://www.econbiz.de/10012146691
Saved in:
3
A Robust Capital Asset Pricing Model
Ruffino, Doriana
-
Federal Reserve Board (Board of Governors of the …
-
2013
version of the
two-fund
separation
theorem. Upon market clearing, all investors hold ambiguous assets in the same relative …
Persistent link: https://www.econbiz.de/10010784143
Saved in:
4
An Analytic Derivation of the Efficient Market Portfolio
Guo, Zion
;
Huang, Hsin-Yi
- In:
Journal for Economic Forecasting
(
2012
)
4
,
pp. 104-116
removed from the efficient frontier. According to
two-fund
separation
theorem, we take two steps to discover the efficient …
Persistent link: https://www.econbiz.de/10010604356
Saved in:
5
Discrete-time behavioral portfolio selection under cumulative prospect theory
Shi, Yun
;
Cui, Xiangyu
;
Li, Duan
- In:
Journal of economic dynamics & control
61
(
2015
),
pp. 283-302
Persistent link: https://www.econbiz.de/10011589538
Saved in:
6
Continuous-time mean–variance portfolio selection with only risky assets
Yao, Haixiang
;
Li, Zhongfei
;
Chen, Shumin
- In:
Economic Modelling
36
(
2014
)
C
,
pp. 244-251
–standard derivation plane. In addition, we further prove the validity of the
two-fund
separation
theorem. …
Persistent link: https://www.econbiz.de/10010729860
Saved in:
7
A two-parameter model of dispersion aversion
Chambers, Robert G.
;
Grant, Simon
;
Polak, Ben
;
Quiggin, John
- In:
Journal of Economic Theory
150
(
2014
)
C
,
pp. 611-641
concept of decreasing absolute risk aversion. Further we derive
two-fund
separation
and asset pricing results analogous to …
Persistent link: https://www.econbiz.de/10010743796
Saved in:
8
A two-parameter model of dispersion aversion
Chambers, Robert G.
;
Grant, Simon
;
Polak, Ben
;
Quiggin, …
- In:
Journal of economic theory
150
(
2014
),
pp. 611-641
Persistent link: https://www.econbiz.de/10010360468
Saved in:
9
Continuous-time mean-variance portfolio selection with only risky assets
Yao, Haixiang
;
Li, Zhongfei
;
Chen, Shumin
- In:
Economic modelling
36
(
2014
),
pp. 244-251
Persistent link: https://www.econbiz.de/10010412352
Saved in:
10
Risk Exchange as a Market or Production Game
Borglin, Anders
;
Flåm, Sjur
-
2007
-supported core solution. Under variance aversion the latter mirrors the
two-fund
separation
in allocating to each agent some sure …
Persistent link: https://www.econbiz.de/10013208519
Saved in:
1
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