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Portfolio selection with narrow framing : probability weighting matters
De Giorgi, Enrico; Legg, Shane - 2009 - This version: June 9, 2009
and a convex-concave value function reinforces previous applications of narrow framing and cumulative prospect theory to …
Persistent link: https://www.econbiz.de/10003970464
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The general structure of optimal investment and consumption with small transaction costs
Kallsen, Jan; Muhle-Karbe, Johannes - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 659-703
Persistent link: https://www.econbiz.de/10011764966
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Liquidity and investment horizon
Vovchak, Volodymyr - 2014
The paper investigates the relationship between the investment holding horizon and liquidity. I confirm and expand … investment decisions, which is an extension of the earlier findings of Teo (2011) for hedge funds …
Persistent link: https://www.econbiz.de/10010258742
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Security Analysis : An Investment Perspective
Hou, Kewei - 2020
The investment theory, in which the expected return varies cross-sectionally with investment, expected profitability …
Persistent link: https://www.econbiz.de/10012823391
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Optimal investment and equilibrium pricing under ambiguity
Anthropelos, Michail; Schneider, Paul - 2021
We consider portfolio selection under nonparametric alpha-maxmin ambiguity in the neighbourhood of a reference distribution. We show strict concavity of the portfolio problem under ambiguity aversion.Implied demand functions are nondifferentiable, resemble observed bid-ask spreads, and are...
Persistent link: https://www.econbiz.de/10012800006
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Strategic complementarity and substitutability of investment strategies
Doskov, Nikolay; Hens, Thorsten; Schenk-Hoppé, Klaus Reiner - 2022
Institutional investors in equities tend to follow well-defined investment strategies, often based on factors such as … flows between investment strategies on the cross-section of their performance. We find that the correlation between factor …
Persistent link: https://www.econbiz.de/10012800936
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Investment timing with information-processing constraints
Mu, Congming; Yang, Jinqiang; Zhang, Yuhua - In: Finance research letters 32 (2020), pp. 1-6
Persistent link: https://www.econbiz.de/10012430730
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Consumption and Portfolio Choice with Option-Implied State Prices
Ait-Sahalia, Yacine - 2008
We propose an empirical implementation of the consumption-investment problem using the martingale representation … simplifies the investor's task of specifying the investment opportunity set and inherits the computational convenience of the …
Persistent link: https://www.econbiz.de/10012772381
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Optimal investment and financing with a bank-tax-interaction
Chen, Biao; Yang, Jinqiang - In: Finance research letters 35 (2020), pp. 1-8
Persistent link: https://www.econbiz.de/10012438331
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Current Accounts in the Long and Short Run
Kraay, Aart; Ventura, Jaume - 2021
fluctuations in savings on domestic investment and the current account? In the long run, we find that countries invest the marginal … to smooth consumption, but also domestic investment. To achieve this, they use foreign assets as a buffer stock …
Persistent link: https://www.econbiz.de/10013243615