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Explicit solutions of consumption-investment problems in financial markets with regime switching

Sotomayor, Luz Rocío; Cadenillas, Abel - In: Mathematical finance : an international journal of … 19 (2009) 2, pp. 251-279

Persistent link: https://www.econbiz.de/10003827579

The representative agent of an economy with external habit formation and heterogeneous risk aversion

Xiouros, Costas; Zapatero, Fernando - In: The review of financial studies 23 (2010) 8, pp. 3017-3047

Persistent link: https://www.econbiz.de/10008662062

The optimal term structure of debt maturity

Maisch, Melissa; Zapatero, Fernando - In: Bridging the Gaap : recent advances in finance and …, (pp. 229-240). 2012

Persistent link: https://www.econbiz.de/10009557699

Riding the bubble with convex incentives

Sotes-Paladino, Juan; Zapatero, Fernando - In: The review of financial studies 32 (2019) 4, pp. 1416-1456

Persistent link: https://www.econbiz.de/10012033708

Risk aversion in a dynamic asset allocation experiment

Brocas, Isabelle; Carrillo, Juan D.; Giga, Aleksandar; … - In: Journal of financial and quantitative analysis : JFQA 54 (2019) 5, pp. 2209-2232

Persistent link: https://www.econbiz.de/10012140074

Riding the Bubble with Convex Incentives

Sotes-Paladino, Juan M. - 2018

We show that benchmark-linked convex incentives can lead risk-averse money managers aware of mispricing to over-invest in overpriced securities. In the model, the managers' risk-seeking behavior varies in response to the interaction of mispricing with convexity and benchmarking concerns....

Persistent link: https://www.econbiz.de/10012937873

Disagreement, information quality and asset prices

Xiouros, Costas; Zapatero, Fernando - In: Journal of financial economics 153 (2024), pp. 1-30

Persistent link: https://www.econbiz.de/10015072054