منابع مشابه
Robust preferences and robust portfolio choice
Financial markets offer a variety of financial positions. The net result of such a position at the end of the trading period is uncertain, and it may thus be viewed as a real-valued function X on the set of possible scenarios. The problem of portfolio choice consists in choosing, among all the available positions, a position which is affordable given the investor’s wealth w, and which is optima...
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This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that investor preferences are deÞned over moments of the terminal wealth distribution such as its skew and kurtosis. Time-variations in investment opportunities are driven by a regime switching process that can capture bull and bear states. We develop analytical methods that only require so...
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We provide general representations for the rate of return and the volatility of a risky asset and for the optimal portfolios in equilibrium with heterogeneous agents. Our universal representations allow for arbitrary utility functions and an arbitrary diffusion process for the state variable. The key element is a new object that we call the “rate of macroeconomic fluctuations”: In equilibrium, ...
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Within the field of Artificial Intelligence (AI) research, the subfield of Computational Social Choice considers the application of AI techniques to problems in Social Choice (a.k.a. Voting Theory) (Chevaleyre et al. 2007). Starting in the early 1990’s, computer scientists began to take an interest in social choice. Initial work was concerned with circumventing the impossibility results implied...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2318987