Zobrazeno 1 - 10
of 1 430
pro vyhledávání: '"Long-run investments"'
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general ar
Externí odkaz:
http://arxiv.org/abs/1306.2751
Publikováno v:
The Journal of the Operational Research Society, 1979 Jun 01. 30(6), 575-585.
Externí odkaz:
https://www.jstor.org/stable/3009527
Publikováno v:
Mathematical Finance. Jan2017, Vol. 27 Issue 1, p3-37. 35p.
We study large-scale portfolio optimization problems in which the aim is to maximize a multi-moment performance measure extending the Sharpe ratio. More specifically, we consider the adjusted for skewness Sharpe ratio, which incorporates the third mo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d1a2c76211c896ad6f7025821cc2cf18
https://doi.org/10.21203/rs.3.rs-2345941/v1
https://doi.org/10.21203/rs.3.rs-2345941/v1
Autor:
Hogendorn, Christiaan1 chogendorn@wesleyan.edu
Publikováno v:
Journal of Regulatory Economics. Nov2003, Vol. 24 Issue 3, p271-291. 21p. 2 Graphs.
Publikováno v:
Computational Management Science; 11/8/2023, Vol. 21 Issue 1, p1-29, 29p
Autor:
Coniglio, Stefano1 (AUTHOR), Sirvent, Mathias2 (AUTHOR), Weibelzahl, Martin3 (AUTHOR) martin_weibelzahl@hotmail.de
Publikováno v:
OR Spectrum. Jun2021, Vol. 43 Issue 2, p367-408. 42p.
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______4094::2fa5f41ff125d0d3dd4dc9ee5e067976
http://hdl.handle.net/11585/856822
http://hdl.handle.net/11585/856822
Publikováno v:
Mathematical Finance. 27:3-37
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and not too risk averse for low wealth. We prove this result in a general ar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::018c5930511c33df0b89fb1ecd9ec394
https://doi.org/10.1111/mafi.12087
https://doi.org/10.1111/mafi.12087