Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Moris Simon"'
We study a discrete-time consumption-based capital asset pricing model under expectations-based reference-dependent preferences. More precisely, we consider an endowment economy populated by a representative agent who derives utility from current con
Externí odkaz:
http://arxiv.org/abs/2401.12856
Autor:
Jinye Du, Moris Simon Strub
Publikováno v:
SSRN Electronic Journal.
Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
Publikováno v:
Mathematical Finance. 31:683-721
We introduce the concept of forward rank-dependent performance processes, extending the original notion to forward criteria that incorporate probability distortions. A fundamental challenge is how to reconcile the time-consistent nature of forward pe
Autor:
Moris Simon Strub, Xun Yu Zhou
Publikováno v:
Finance and Stochastics. 25:331-358
We study the evolution of the Arrow–Pratt measure of risk-tolerance in the framework of discrete-time predictable forward utility processes in a complete semimartingale financial market. An agent starts with an initial utility function, which is th
Autor:
Duan Li, Moris Simon Strub
Publikováno v:
Operations Research Letters. 48:397-400
We extend a recent result of Trybula and Zawisza (2019), who investigate a continuous-time portfolio optimization problem under monotone mean–variance preferences. Their main finding is that the optimal strategies for monotone and classical mean–
Autor:
Duan Li, Moris Simon Strub
Publikováno v:
Operations Research. 68:199-213
In a dynamic setting, decision makers update their reference point as a function of previous decision and outcomes. In “Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment,” Strub and Li investigate the in
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
SSRN Electronic Journal.