//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~person:"Magni, Carlo Alberto"
~person:"Branger, Nicole"
~subject:"Theory"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Heterogeneity of Investors and...
Similar by subject
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Theory
Theorie
54
CAPM
23
Volatilität
22
Portfolio selection
16
Portfolio-Management
16
net present value
16
residual income
16
General Equilibrium
13
Volatility
13
Capital income
11
Kapitaleinkommen
11
Value creation
9
disequilibrium
9
Asset Allocation
8
Contagion
8
Hedging
8
Investment
8
Risikoprämie
8
arbitrage
8
internal rate of return
8
recursive preferences
8
Allgemeines Gleichgewicht
7
Betriebliche Investitionstheorie
7
Betriebliche Wertschöpfung
7
Börsenkurs
7
Cash Flow
7
Cash flow
7
Corporate investment theory
7
General equilibrium
7
Investition
7
Investitionsentscheidung
7
Investment decision
7
Net Present Value
7
Risk premium
7
Schock
7
Share price
7
Shock
7
Stochastischer Prozess
7
stochastic volatility
7
more ...
less ...
Online availability
All
Free
46
Undetermined
1
Type of publication
All
Book / Working Paper
50
Type of publication (narrower categories)
All
Arbeitspapier
11
Graue Literatur
11
Non-commercial literature
11
Working Paper
11
Language
All
English
50
Author
All
Magni, Carlo Alberto
Branger, Nicole
Batabyal, Amitrajeet A.
59
Weber, Martin
53
Gollier, Christian
41
Eeckhoudt, Louis R.
36
Karni, Edi
35
Härdle, Wolfgang
32
Muhle-Karbe, Johannes
31
Wakker, Peter P.
31
Segal, Uzi
30
Hey, John Denis
29
Kraft, Holger
29
Schlag, Christian
29
Broll, Udo
28
Dionne, Georges
28
Fishburn, Peter C.
28
Epstein, Larry G.
27
Madan, Dilip B.
27
Chen, An
26
Härdle, Wolfgang K.
26
Schmidt, Ulrich
26
Güth, Werner
25
Post, Thierry
25
Wong, Wing-Keung
25
Eichberger, Jürgen
24
Kelsey, David
24
Dillenberger, David
23
Kit, Pong Wong
23
Safra, Zvi
23
Ang, Andrew
22
Blavatskyy, Pavlo R.
22
Fernandez, Pablo
22
Geanakoplos, John
22
Guo, Xu
22
Obrimah, Oghenovo A.
22
Feunou, Bruno
21
Leung, Tim
21
Malamud, Semyon
21
Park, Seyoung
21
Pelizzon, Loriana
21
more ...
less ...
Published in...
All
SAFE working paper
10
SAFE Working Paper
4
Deutsche Bundesbank Discussion Paper
1
Discussion paper
1
Source
All
ECONIS (ZBW)
50
Showing
1
-
10
of
50
Sort
Relevance
Date (newest first)
Date (oldest first)
1
Accounting and Economic Measures : An Integrated Theory of Capital Budgeting
Magni, Carlo Alberto
-
2015
average accounting rate generates a
decision
rule which is logically equivalent to the NPV rule for both accept …
Persistent link: https://www.econbiz.de/10013039268
Saved in:
2
Why is Portfolio Insurance Attractive to Investors?
Vrecko, Dennis
-
2009
that an
investor
with constant relative risk aversion does not profit from portfolio insurance. For a cumulative prospect … theory
investor
, on the other hand, the investment performance, measured by the certainty equivalent return, doubles from …
Persistent link: https://www.econbiz.de/10013153296
Saved in:
3
International Stochastic Discount Factors and Covariance Risk
Branger, Nicole
-
2020
We propose a Wishart Affine Stochastic Correlation (WASC) model for the joint dynamics of the SDF in an international economy. We derive exchange rate dynamics and a quasi-closed-form solution for currency option pricing. This solution includes Heston's stochastic volatility model as a special...
Persistent link: https://www.econbiz.de/10012856515
Saved in:
4
Optimal Portfolios when Variances and Covariances can Jump
Branger, Nicole
-
2017
We analyze the optimal portfolio choice in a multi-asset Wishart-model in which return variances and correlations are stochastic and subject to jump risk. The optimal portfolio is characterized by the positions in stock diffusion risk, variance-covariance diffusion risk, and jump risk. We find...
Persistent link: https://www.econbiz.de/10012972045
Saved in:
5
Correlation Risk and International Portfolio Choice
Branger, Nicole
-
2018
assume that the returns from the perspective of the domestic
investor
are driven by a Wishart Affine Stochastic Correlation … (WASC) model. We show that this also holds from the perspective of the foreign
investor
and give the relations between the …
Persistent link: https://www.econbiz.de/10012936289
Saved in:
6
What is the Equilibrium Price of Variance Risk? A Long-Run Risks Model with Two Volatility Factors
Branger, Nicole
-
2013
This paper explores how economic uncertainty evolves over time and how it is priced in the market. We solve for the variance premium, the prices of equity index options, and the prices of volatility related derivatives in a long-run risks model. We find that both short-run and long-run...
Persistent link: https://www.econbiz.de/10013094009
Saved in:
7
Average Rates of Return, Working Capital, and NPV-Consistency in Project Appraisal : A Sensitivity Analysis Approach
Magni, Carlo Alberto
-
2020
In project appraisal under uncertainty, the economic reliability of a measure of financial efficiency depends on its strong NPV-consistency, meaning that the performance metric (i) supplies the same recommendation in accept-reject decisions as the NPV, (ii) ranks competing projects in the same...
Persistent link: https://www.econbiz.de/10012835679
Saved in:
8
'Nobody is perfect' : asset pricing and long-run survival when heterogeneous investors exhibit different kinds of filtering errors
Branger, Nicole
;
Schlag, Christian
;
Wu, Lue
-
2015
-run
investor
survival is that there are degrees of model misspecification on the part of one
investor
for which there is no … compensation by the other
investor
's deficiency. The main finding with respect to the asset pricing properties of our model is that …
Persistent link: https://www.econbiz.de/10011317706
Saved in:
9
Using Average Internal Rates of Return for Investment Performance Measurement and Attribution
Magni, Carlo Alberto
-
2016
introduce a pair of metrics, opposed to IRR and TWRR, which measure the manager's performance and the
investor
's performance on …
Persistent link: https://www.econbiz.de/10012978556
Saved in:
10
Capital Depreciation and the Underdetermination of Rate of Return : A Unifying Perspective
Magni, Carlo Alberto
-
2017
This paper shows that the notion of rate of return is best understood through the lens of the average-internal-rate-of-return (AIRR) model, first introduced in Magni (2010a). It is an NPV-consistent approach based on a coherent definition of rate of return and on the notion of Chisini mean, it...
Persistent link: https://www.econbiz.de/10012962027
Saved in:
1
2
3
4
5
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->