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Expectation and Optimal f : Expected Growth with and without Reinvestment for Discretely-Distributed Outcomes of Finite Length

Vince, Ralph - 2019

Presented is the formulation for determining the exact, expected growth-optimal fraction of equity to risk for all conditions, rather than merely the asymptotic growth-optimal fraction. The formulation presented represents the surface in the leverage space manifold, wherein the loci at the peak...

Persistent link: https://www.econbiz.de/10012904410

Parimutuel Betting Markets : Racetracks and Lotteries Revisited

Ziemba, William T. - 2021

This paper discusses the state of the art in research in racetrack and lottery investment markets. Market efficiency and the pricing of various wagers is studied along with new developments since the Thaler and Ziemba (1988) review. The weak form inefficient market approach using stochastic...

Persistent link: https://www.econbiz.de/10013223442

Decentralized trade, Random utility and the evolution of social welfare

Kandori, Michihiro; Serrano, Robert; Volij, Oscar - 2004

We study decentralized trade processes in general exchange economies and house allocation problems with and without money. Such processes are subject to persistent random shocks stemming from agents’ maximization of random utility. By imposing structure on the utility noise term —logit...

Persistent link: https://www.econbiz.de/10010318996

Decentralized Trade, Random Utility and the Evolution of Social Welfare

Kandori, Michihiro; Serrano, Roberto; Volij, Oscar - School of Social Science, Institute for Advanced Study - 2004

Persistent link: https://www.econbiz.de/10005163100

Learning to Like What You Have: Explaining the Endowment Effect

Huck, Steffen; Kirchsteiger, Georg; Oechssler, Jörg - 2003

effect by showing that evolution favors individuals whose preferences embody an endowment effect. The reason is that an …

Persistent link: https://www.econbiz.de/10010276089

Learning to Like What You Have - Explaining the Endowment Effect

Huck, Steffen; Kirchsteiger, Georg; Oechssler, Jörg - University of Bonn, Germany - 2003

effect by showing that evolution favors individuals whose preferences embody an endowment effect. The reason is that an …

Persistent link: https://www.econbiz.de/10004968395

Social Reciprocity

Carpenter, Jeffrey; Matthews, Peter - 2002

We conduct a survey and find that 47% of respondents state they would sanction free riders in a team production scenario even though the respondent was not personally affected and no direct benefits could be expected to follow an intervention. To understand this phenomenon, we define social...

Persistent link: https://www.econbiz.de/10005196526

Environmental, Social and Governance Investment Standardization : Moving Towards Sustainable Economy

Plastun, Alex; Makarenko, Inna; Yelnikova, Yulia; … - 2019

criterion) normative base in the context of standardization process in sustainable economy financing. Complexity of such … standardization and the lack of commonly accepted regulations, indexes metrics are under discussions of scholars, which encourage the … standardization process in sustainable economy and making more grounded investment and regulatory decisions …

Persistent link: https://www.econbiz.de/10014104995

Diversification Effect of Standard and Optimized Carry Trades

Reichenecker, Jurij-Andrei - 2017

Standard carry trades, which consist of purchasing high- and selling low-yield currencies, provide an economic diversification effect. However, the diversification effect is not robust, and is not borne out by much statistical evidence. We introduce optimized carry trades, which incorporate risk...

Persistent link: https://www.econbiz.de/10012971586

Standard and optimized carry trades

Reichenecker, Jurij-Andrei - 2017

Drawdown periods of standard carry trades are primarily the result of losses in classic carry trade currencies. These periods coincide with an increased financial stress, such as the recent financial crisis. The introduced optimized carry trades employ a dynamic weighting scheme for currencies,...

Persistent link: https://www.econbiz.de/10012972552