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Long-Run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention

Luo, Yulei - 2010

utility, which has two key features. First, intertemporal substitution and risk aversion are disentangled. Second, the … when the departure from standard expected utility with rational expectations is small. In addition, we show that RI … increases the implied equity premium because inattentive investors with recursive utility face greater long-run risk and thus …

Persistent link: https://www.econbiz.de/10013140126

Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk

Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - 2014 - First version: March 6, 2014; this version: June 1, 2014

We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...

Persistent link: https://www.econbiz.de/10010359861

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …

Persistent link: https://www.econbiz.de/10010512497

Portfolio selection : a technical note

Martins, Ana Paula - 2012

This note develops the solutions of the static portfolio optimization problem in explicit matrix form. Three cases are contemplated and connected, with the derivation of relevant corner solutions: the unconstrained problem in the presence of risky assets only, the constrained one, and the...

Persistent link: https://www.econbiz.de/10011526683

Valuation risk revalued

De Groot, Oliver; Richter, Alexander W.; Throckmorton, … - In: Quantitative economics : QE ; journal of the … 13 (2022) 2, pp. 723-759

This paper shows the success of valuation risk-time‐preference shocks in Epstein-Zin utility-in resolving asset pricing …

Persistent link: https://www.econbiz.de/10013382046

Mean-variance investing with factor tilting

Boido, Claudio; Fasano, Antonio - In: Risk management : an international journal 25 (2023) 2, pp. 1-8

Persistent link: https://www.econbiz.de/10014251456

Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Xu, Yuhong - 2016

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility …

Persistent link: https://www.econbiz.de/10012987227

A Dynamic Mean-Variance Analysis for Log Returns

Dai, Min - 2019

direct link with the CRRA utility maximization in a complete market …

Persistent link: https://www.econbiz.de/10012864640

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk-sharing motives. We demonstrate that such unwarranted betting behavior in market equilibrium can be mitigated by introducing nonlinear pricing for ambiguous contracts, without...

Persistent link: https://www.econbiz.de/10015272951

A general framework for portfolio theory : part I: theory and various models

Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35

of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …Utility and risk are two often competing measurements on the investment success. We show that efficient trade …

Persistent link: https://www.econbiz.de/10011867378