搜索结果: 1-8 共查到“经济学 Portfolio Choice”相关记录8条 . 查询时间(0.109 秒)
Loyalty Based Portfolio Choice
Investment Retirement Decisions Employees Performance Evaluation Business Conglomerates
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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
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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.
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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.
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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
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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
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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
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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 ...
Variable Selection for Portfolio Choice
Variable Selection Portfolio Choice
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2014/3/13
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...