Working paper

Author(s) : Raman Uppal
We solve in closed form for the following quantities: optimal consumption and portfolio policies of individual agents; the riskless interest rate and...
2011
Author(s) : Georges Hubner
Without losing in significance power, in beta consistency or in factor efficiency compared to the Fama and French factors, our technique insulates...
2011
Author(s) : Marie Lambert
Without losing in significance power, in beta consistency or in factor efficiency compared to the Fama and French factors, our technique insulates...
2011
Author(s) : Victor DeMiguel
Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return and turnover. Our empirical...
2011
Author(s) : Yuliya Plyakha
Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return and turnover. Our empirical...
2011
Author(s) : Raman Uppal
Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return and turnover. Our empirical...
2011
Author(s) : Grigory Vilkov
Portfolio performance is measured in terms of four metrics: volatility, Sharpe ratio, certainty-equivalent return and turnover. Our empirical...
2011
Author(s) : Phelim Boyle
We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The model shows that...
2011
Author(s) : Lorenzo Garlappi
We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The model shows that...
2011
Author(s) : Raman Uppal
We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The model shows that...
2011
Author(s) : Tan Wang
We rely on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The model shows that...
2011
Author(s) : Georges Hubner
Portfolio managers claim to be able to generate abnormal returns through either superior asset selection or market timing. The Treynor and Mazuy (TM...
2011
Author(s) : Stoyan V. Stoyanov
The decomposition completely characterises the spectral risk measures with square-integrable risk aversion functions and can be regarded as a link...
2010
Author(s) : Barry Schachter
In response, an alternative approach, called Risk Parity, which proceeds by equalising risk contributions, has garnered much interest. In this paper...
2010
Author(s) : S. Ramu Thiagarajan
In response, an alternative approach, called Risk Parity, which proceeds by equalising risk contributions, has garnered much interest. In this paper...
2010
Author(s) : Pascal Francois
We rely on the mean-variance framework and derive the optimal choices for an entrepreneur with and without the presence of different kinds of venture...
2010
Author(s) : Georges Hubner
We rely on the mean-variance framework and derive the optimal choices for an entrepreneur with and without the presence of different kinds of venture...
2010
Author(s) : Paul Klumpes
Simulation analysis can be used to examine the effect of alternative discount rate assumptions on the strength of associations between an economic or...
2010
Author(s) : Ekkehart BoehmerLundquist
We find that firms with listed equity options have more liquid equity and more efficient stock prices. By...
2010
Author(s) : Ekkehart BoehmerLundquist
We find that firms with listed equity options have more liquid equity and more efficient stock prices. By...
2010

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