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Taming animal spirits : risk management with behavioural factors

Andruszkiewicz, Grzegorz; Davis, Mark H. A.; Lleo, … - In: Annals of finance 9 (2013) 2, pp. 145-166

Persistent link: https://www.econbiz.de/10009741199

Jump-diffusion asset-liabilty management via risk-sensitive control

Davis, Mark H. A.; Lleo, Sébastien - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 655-675

Persistent link: https://www.econbiz.de/10011296728

A simple procedure for combining expert opinion with statistical estimates to achieve superior portfolio performance

Davis, Mark H. A.; Lleo, Sébastien - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 49-58

Persistent link: https://www.econbiz.de/10011686088

Debiased Expert Forecasts in Continuous Time Asset Allocation

Davis, Mark H. A. - 2019

This paper examines the effect of biased expert opinions on asset allocations. Expert opinions, such as brokerage research and analyst views, are an essential component of the asset management sector and an important research topic. However, the effect of behavioral biases on expert opinions is...

Persistent link: https://www.econbiz.de/10012903976