نتایج جستجو برای: portfolio theory
تعداد نتایج: 799295 فیلتر نتایج به سال:
This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedgin...
Let MPT (v, 2) denote a maximum packing of triples of order v and index 2. An MPT (v, 2) is called simple if it contains no repeated triples. It is proved in this paper that for v > 2 and any even 2, the necessary and sufficient condition for the embedding of a simple MPT(v,2) in a simple MPT(u,).) is u >/2v + 1.
When I studied microeconomics forty years ago, I was first taught how optimizing firms and consumers would behave, and then taught the nature of the economic equilibrium which would result from such behavior. Let me refer to this as part one and part two of my microeconomics course. My work on portfolio theory considers how an optimizing investor would behave, whereas the work by Sharpe and Lin...
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Essays on Household Portfolio Choice
To cite this article: Scott J. Davis, Shatiel B. Edwards, Gerald E. Teper, David G. Bassett, Michael J. McCarthy, Scott C. Johnson, Craig R. Lawton, Matthew J. Hoffman, Liliana Shelton, Stephen M. Henry, Darryl J. Melander, Frank M. Muldoon, Brian D. Alford, Roy E. Rice, (2016) Maximizing the U.S. Army’s Future Contribution to Global Security Using the Capability Portfolio Analysis Tool (CPAT)....
Supplying chain cooperation has already become an important strategy that enterprises use to tackle market competition; however, the supply chain crisis caused by supply chain risk makes the supply chain operation of enterprises very fragile. This paper applies Portfolio Theory to explain the suppliers’ combination plays an important role in dispersing the supplying chain risk and controlling i...
In the context of the historical development of portfolio theory the authors describe a stochastic asset/liability modelling exercise for a closed pension fund portfolio, illustrating the reduction in variance of estimated future surplus which can be achieved by investment in index-linked securities. Equity investment would increase the expected level of surplus, but the outcome would be more u...
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