components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is … utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a … interconnection between the pricing kernel and its densities, the extension to the risk-neutral measure follows naturally …

rate and risk premiums using recursive utility in a continuous time model. We consider the version of recursive utility … which gives the most unambiguous separation of risk preference from time substitution, and use the stochastic maximum …

This study searches for use of simplex theory in talent management. It is a research topic belonging to this study …

-variance portfolio can be used to obtain a set of implied factor risk premia. Contrary to the instability of the mean-variance asset … portfolio, we show that such implied factor risk premia imply stable factor exposures. To translate factor exposures into asset … demonstrate that our "factor-targeted portfolios" exhibit higher Sharpe ratios than mean-variance and various risk …

rate and risk premiums using recursive utility in a continuous-time model. We use the stochastic maximum principle to …

portfolio models with direct transaction and market impact costs. In particular, we propose a risk-neutral portfolio selection … portfolio selection problems with market impact costs tested and much faster on the instance of risk-neutral multistage …