The portfolio choice problem
The Standard Portfolio Choice Problem in Germany
... standard portfolio choice problem, allocating a őxed budget between a safe and a risky ...standard portfolio choice problem is widely viewed as capturing one of the main ...
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Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem
... general portfolio choice problem in which there are, in addition, derivative assets, such as options, written on the risky asset, the decision maker’s consumption resulting from her optimal ...
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The current account as a dynamic portfolio choice problem
... optimal portfolio shares does not change considerably with the relative risk aversion parameter, the average values of t *, H and t F are highly sensitive to this ...individual portfolio shares are ...
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Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
... optimization problem to be solved several times for various values of ...optimization problem in order to find the efficient fron- tier in a single execution of the ...The problem is solved by a ...
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CiteSeerX — Asymmetries and Portfolio Choice *
... optimal portfolio choice problem of an investor with disappointment aversion utility supported by recent experimental studies, who faces a set of asset returns described by an extended multivariate ...
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Portfolio Choice and Life Insurance
... This observation is more than just anecdotal. The insurance literature’s starting point for the optimal quantity of life insurance is the original work by Dr. Solomon Huebner (U. of Penn.) in the early 1900s, based on ...
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Optimal Portfolio Choice with Annuitization
... and portfolio choice problem over an individual’s life-cycle taking into account annuity risk at ...this choice on the state of the ...annuity choice, ii) restricting the annuity menu ...
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Maxmin Portfolio Choice
... of portfolio weights, W is stochastic future wealth (depending on the portfolio choice x), E Q and Var Q denote expectation and variance with respect to a probability measure Q and is a constant ...
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Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice
... Modern Portfolio Theory MPT provides a useful diversification paradigm but ignores risks beyond one period ...dynamic problem reduces to the single period problem when returns are ...when ...
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Portfolio choice and the effects of liquidity
... the portfolio performance in terms of the Sharpe ratio for alternative levels of aggregate ...optimization problem given by expression (2) for each of the three sub-periods ...
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The Effect of Housing on Portfolio Choice
... Column 7 reports estimates from a speci…cation analogous to column 5 except the endoge- nous regressors are also de…ned as shares of liquid wealth, like the dependent variable. We replace property value by the ratio of ...
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Portfolio Choice: An Empirical Investigation.
... Ferson and Constantinides (1991) examined a habit formation utility function trying to find whether the durability or the persistence effect dominates and hence whether the parameter of habit formation in the utility ...
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Housing, portfolio choice, and the macroeconomy
... The presence of housing complicates the problem slightly. Although it is true that only the aggregate capital-labor ratio today, ends up being enough to forecast the aggregate capital-labor ratio next period, the ...
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Portfolio choice and financial advice
... a problem of endogenous matching of managers and ...affects portfolio decisions of households (richer people invest more in risky funds, see for example Agnew et ...a problem of endogenous ...a ...
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Dynamic portfolio choice with frictions
... study portfolio choice for high- and low-frequency trading, we show how to formulate the problem in continu- ous time such that the objective function is a limit of discrete-time models in which ...
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Portfolio Optimization and Mortgage Choice
... mortgage choice; stochastic control theory; stochastic interest rate ...mortgage choice as viewed from the perspective of a household ...consumption problem of an investor who seeks to maximize the ...
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A Portfolio Theory of Route Choice
... 2.2 Diversity of commute trips This study focuses on commute trips because 1) A large number of trips could be observed between the same origin and destination; 2) Travelers are likely to gain enough experience through ...
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Fiscal Harmonization and Portfolio Choice
... However, the piece of literature ignores the stochastic nature of the environ- ment surrounding economic decisions. In fact, taxing uncertain ‡ows may not be similar to taxing ‡ows that are known for sure. Indeed, ...
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An optimal portfolio, consumption leisure and retirement choice problem with CES utility: a dynamic programming approach
... Abstract In this paper, we study an optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility function. Using the dynamic ...
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The mortgage choice problem
... We rst show that in the basic Markowitz mean/v ariance model, there are no Gien goods; if a stock's expected rate of return goes up, its weight in any e cient portfolio goes up. This seems a text-book ...
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