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The possibilities and consequences of investment decisions by stepwise optimization
Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087
Persistent link: https://www.econbiz.de/10014374968
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Correlation Ambiguity and Under-Diversification
Liu, Jun - 2017
We study effects of correlation ambiguity on portfolio choice when the number of risky assets is large. We find that the optimal portfolio contains only a fraction of available risky assets. With 100 stocks randomly selected from the S&P 500, less than 20 stocks will be held in the optimal...
Persistent link: https://www.econbiz.de/10012970599
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Reward-Risk Ratios
Cheridito, Patrick - 2013
We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples … members only depend on the distribution of a return. In the second part of the paper we provide an overview of existing reward-risk …
Persistent link: https://www.econbiz.de/10013090253
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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Risk and ambiguity in models of business cycles
Backus, David; Ferriere, Axelle; Zin, Stanley E. - In: Journal of monetary economics 69 (2015), pp. 42-63
Persistent link: https://www.econbiz.de/10011326690
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Ambiguity and the historical equity premium
Collard, Fabrice; Mukerji, Sujoy; Sheppard, Kevin; … - In: Quantitative economics : QE ; journal of the … 9 (2018) 2, pp. 945-993
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the risk …
Persistent link: https://www.econbiz.de/10011994544
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Trade policy uncertainty and stock returns
Bianconi, Marcelo; Esposito, Federico; Sammon, Marco - 2019
Persistent link: https://www.econbiz.de/10011999924
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Evaluation of long-dated assets : the role of parameter uncertainty
Gollier, Christian - In: Journal of monetary economics 84 (2016), pp. 66-83
Persistent link: https://www.econbiz.de/10011709636
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Uncertainty, Information Acquisition and Price Swings in Asset Markets
Mele, Antonio - 2018
distribution (i.e., risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack …
Persistent link: https://www.econbiz.de/10012940746
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Trade Policy Uncertainty and Stock Returns
Bianconi, Marcelo - 2020
treatment between 1990 and 2001. More exposed industries commanded a risk premium of 6% per year. The risk premium was larger in …
Persistent link: https://www.econbiz.de/10012850033