Three Essays on Asset Pricing and Portfolio Allocation
Author : Zhe Zhang
Publisher :
Page : 264 pages
File Size : 45,52 MB
Release : 2004
Category : Capital assets pricing model
ISBN :
Author : Zhe Zhang
Publisher :
Page : 264 pages
File Size : 45,52 MB
Release : 2004
Category : Capital assets pricing model
ISBN :
Author : Chen Cao
Publisher :
Page : 137 pages
File Size : 50,65 MB
Release : 2013
Category : Asset allocation
ISBN :
Author : Ehud Peleg
Publisher : ProQuest
Page : 356 pages
File Size : 33,49 MB
Release : 2008
Category : Capital assets pricing model
ISBN :
Author : Mahmoud Botshekan
Publisher :
Page : 142 pages
File Size : 25,65 MB
Release : 2012
Category :
ISBN : 9789036103312
Author : Byeongje An
Publisher :
Page : pages
File Size : 17,44 MB
Release : 2016
Category :
ISBN :
We analyze the joint problem of optimal investing and contribution decisions, when there is disutility associated with contributions. Interestingly, we find that the optimal portfolio decision often looks like a ``risky gambling" strategy where the pension sponsor increases the pension plan's allocation to risky assets in bad states. This is very different from the traditional prediction, where in economy downturns the pension sponsor should fully switch to the risk-free portfolio. Our solution method involves a separation of the pension sponsor's problem into a utility maximization problem and a disutility minimization one.
Author : Selale Tuzel
Publisher :
Page : 286 pages
File Size : 20,38 MB
Release : 2005
Category : Capital assets pricing model
ISBN :
Author : Yongli Zhang
Publisher : ProQuest
Page : 198 pages
File Size : 12,54 MB
Release : 2007
Category :
ISBN : 9780549269489
G models without a monetary perspective are difficult to capture the dynamics of the real interest rates in the data of the US economy.
Author : Emmanuel Leclercq
Publisher :
Page : 156 pages
File Size : 13,22 MB
Release : 2014
Category :
ISBN :
Author : Antonios Sangvinatsos
Publisher :
Page : 438 pages
File Size : 36,15 MB
Release : 2005
Category :
ISBN :
Author : SĂ©bastien Coupy
Publisher :
Page : 85 pages
File Size : 33,49 MB
Release : 2016
Category :
ISBN :