Showing 1 - 10 of 19
Persistent link: https://www.econbiz.de/10012033822
Because analysts strategically allocate more effort to portfolio firms that are relatively more important for their careers, a firm's information environment is impacted by other firms covered by its analysts. Controlling for analyst and firm characteristics, an analyst makes more accurate,...
Persistent link: https://www.econbiz.de/10012934294
This paper focuses on the constant elasticity of variance (CEV) model for studying the utility maximization portfolio selection problem with multiple risky assets and a risk-free asset. The Hamilton–Jacobi–Bellman (HJB) equation associated with the portfolio optimization problem is...
Persistent link: https://www.econbiz.de/10011046634
This paper considers an optimal investment and reinsurance problem involving a defaultable security for an insurer under the mean-variance criterion in a jump-diffusion risk model. The insurer is allowed to purchase proportional reinsurance or acquire new business and invest in a financial...
Persistent link: https://www.econbiz.de/10013028201
This paper studies the optimal investment and benefit adjustment problem for a collective DC pension plan under longevity trend. We assume that the mortality hazard rate is a function of age and time, which extends the Makeham's Law and can describe the longevity trend. The contribution rate is...
Persistent link: https://www.econbiz.de/10014358774
Persistent link: https://www.econbiz.de/10014366223
Persistent link: https://www.econbiz.de/10009501687
Persistent link: https://www.econbiz.de/10010227974
Persistent link: https://www.econbiz.de/10009720485
Persistent link: https://www.econbiz.de/10011396861