Keyword: investment

Found 1239 papers in total
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
2014,
We provide novel evidence for an equilibrium link between investors' disagreement, the...
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
A Mean-Variance Benchmark for Intertemporal Portfolio Theory
2014,
Mean‐variance portfolio theory can apply to streams of payoffs such as...
Sources of Entropy in Representative Agent Models
Sources of Entropy in Representative Agent Models
2014,
We propose two data‐based performance measures for asset pricing models and...
Strategic Asset Allocation in Money Management
Strategic Asset Allocation in Money Management
2014,
This paper analyzes the dynamic portfolio choice implications of strategic interaction...
Informed Trading through the Accounts of Children
Informed Trading through the Accounts of Children
2014,
This study shows that the guardians behind underaged accounts are successful at...
Asset Pricing with Dynamic Margin Constraints
Asset Pricing with Dynamic Margin Constraints
2014,
This paper provides a novel theoretical analysis of how endogenous time‐varying...
An Anatomy of Commodity Futures Risk Premia
An Anatomy of Commodity Futures Risk Premia
2014,
We identify two types of risk premia in commodity futures returns: spot premia related...
Investing in a Shared Supplier in a Competitive Market: Stochastic Capacity Case
Investing in a Shared Supplier in a Competitive Market: Stochastic Capacity Case
2015,
When firms invest in a shared supplier, one key concern is whether the invested...
Global optimisation of a portfolio adjustment problem under credibility measures
Global optimisation of a portfolio adjustment problem under credibility measures
2016,
In this paper it is shown how to find the guaranteed ϵ‐optimal solution...
A practical analytical model for valuing early stage investments using real options
A practical analytical model for valuing early stage investments using real options
2016,
In this work, we build on a previous real options approach that utilises managerial...
Simulation methods in real option valuation
Simulation methods in real option valuation
2016,
Simulation is an efficient and versatile method for real option valuation. This paper...
Signal Diffusion Mapping: Optimal Forecasting with Time-Varying Lags
Signal Diffusion Mapping: Optimal Forecasting with Time-Varying Lags
2016,
We introduce a new methodology for forecasting, which we call signal diffusion...
Maximum principle for optimal control of anticipated forward‐backward stochastic differential delayed systems with regime switching
Maximum principle for optimal control of anticipated forward‐backward stochastic differential delayed systems with regime switching
2016,
This paper is concerned with a Pontryagin maximum principle for optimal control...
Decision-Based Forecast Evaluation of UK Interest Rate Predictability
Decision-Based Forecast Evaluation of UK Interest Rate Predictability
2016,
This paper illustrates the importance of density forecasting and forecast evaluation...
Assessment of life insurance applications: an approach integrating neuro-symbolic rule-based with case-based reasoning
Assessment of life insurance applications: an approach integrating neuro-symbolic rule-based with case-based reasoning
2016,
Assessment of applications for life insurance is an important task in the insurance...
The impact of real estate lending on thrifts' franchise values during the 2007‐2009 crisis: a comparison with commercial banks
The impact of real estate lending on thrifts' franchise values during the 2007‐2009 crisis: a comparison with commercial banks
2016,
The real estate bubble and 2007–2009 financial crisis revived the debate about...
The disciplinary role of failed takeover attempts
The disciplinary role of failed takeover attempts
2016,
I find that the CEO turnover in target firms following failed takeover attempts is...
Clawback provisions in real estate investment trusts
Clawback provisions in real estate investment trusts
2016,
Using a sample of 195 unique real estate investment trusts (REITs), we examine factors...
Investment fees, net returns, and conflict of interest in 401(K) plans
Investment fees, net returns, and conflict of interest in 401(K) plans
2016,
Using a proprietary database of predominantly small to mid‐size 401(k) plans...
How many small firms are enough?
How many small firms are enough?
1984,
Individual investors are undiversified, holding on average less than four securities...
The sensitivity of the prime rate to money market conditions
The sensitivity of the prime rate to money market conditions
1984,
Commercial banking's institutional setting can make one bank's profits dependent upon...
Exchange listing and stock liquidity
Exchange listing and stock liquidity
1984,
Two measures are used to estimate the liquidity of stocks that switch their places of...
Synergy, diversification, and incentive effects of corporate merger on bondholder wealth: some evidence
Synergy, diversification, and incentive effects of corporate merger on bondholder wealth: some evidence
1984,
The theory relating to the effects of a merger on the wealth of bondholders implies...
The response of forward exchange rates to interest rate forecasting errors
The response of forward exchange rates to interest rate forecasting errors
1984,
This paper examines the effects of interest rate news on changes in forward foreign...
Papers per page: