搜索结果: 1-8 共查到“经济学 Portfolio Choice”相关记录8条 . 查询时间(0.156 秒)
Loyalty Based Portfolio Choice
Investment Retirement Decisions Employees Performance Evaluation Business Conglomerates
2015/5/13
I evaluate the effect of loyalty on individuals' portfolio choice using a unique dataset of retirement contributions. I exploit the statutory difference that in 401(k) plans stand alone employees can ...
Attracting Flows by Attracting Big Clients: Conflicts of Interest and Mutual Fund Portfolio Choice
Investment Funds Investment Portfolio Conflict of Interests Financial Services Industry
2015/4/22
We explore a new channel for attracting inflows using a unique dataset of corporate 401(k) retirement plans and their mutual fund family trustees. Families secure substantial inflows by being named tr...
Portfolio Choice with Transaction Costs: a User's Guide
transaction costs long-run, portfolio choice Merton problem.
2012/9/14
Recent progress in portfolio choice has made a wide class of problemsinvolving transaction costs tractable. We review the basic approach to these problems,and outline some directions for future resear...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function
multi-period asset allocation quadratic utility function closed-form solution tan-gency portfolio
2012/9/14
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under we...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Finding the Efficient Frontier for a Mixed Integer Portfolio Choice Problem Using a Multiobjective Algorithm
Markowitz Model Multiobjective Optimization NSGA Portfolio Selection
2013/2/23
We propose a computational procedure to find the efficient frontier for the standard Markowitz mean-variance model with discrete variables. The integer constraints limit on the one hand the portfolio ...
We study asset allocation when the conditional moments of returns are partly predictable. Rather than first model the return distribution and subsequently characterize the portfolio choice, we determi...