Janos Mayer

University of Zurich - Institute of Business Administration

Moussonstrasse 15

Zurich, CH-8044

Switzerland

  • University of Zurich - Institute of Business Administration

SCHOLARLY PAPERS

7

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3,523

SSRN CITATIONS
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SSRN RANKINGS

Top 29,462

in Total Papers Citations

7

CROSSREF CITATIONS

30

Scholarly Papers (7)

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1.

A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle

EFA 2006 Zurich Meetings Paper
Number of pages: 65 Posted: 03 May 2006 Last Revised: 11 Jun 2008
Enrico G. De Giorgi, Thorsten Hens and Janos Mayer
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 1,473 (24,222)
Citation 3

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Portfolio selection, asset allocation puzzle, prospect theory, coherent risk measures, mental accounting

2.

Computational Aspects of Prospect Theory with Asset Pricing Applications

Number of pages: 14 Posted: 26 Jan 2006
Enrico G. De Giorgi, Thorsten Hens and Janos Mayer
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 602 (83,138)
Citation 3

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prospect theory, asset pricing, equity premium puzzle, global optimization

3.

Cumulative Prospect Theory and Mean Variance Analysis: A Rigorous Comparison

Downloads 449 (119,245)
Citation 3

Cumulative Prospect Theory and Mean Variance Analysis: A Rigorous Comparison

Swiss Finance Institute Research Paper No. 14-23
Number of pages: 46 Posted: 28 Mar 2014
Thorsten Hens and Janos Mayer
University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 447 (118,528)
Citation 7

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Cumulative Prospect Theory, Mean Variance Analysis

Cumulative Prospect Theory and Mean–Variance Analysis: A Rigorous Comparison

Journal of Computational Finance, Vol. 21, No. 3, 2017
Number of pages: 28 Posted: 02 Dec 2017
Thorsten Hens and Janos Mayer
University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 2 (1,150,335)
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Cumulative Prospect Theory (CPT), Mean–Variance (MV) Analysis, Portfolio Selection, Adaptive Simplicial Grid Refinement, Proximity Measures for Portfolios

4.

A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Swiss Finance Institute Research Paper No. 16-04
Number of pages: 44 Posted: 04 Feb 2016
Maximilian Adelmann, Lucio Fernandez Arjona, Janos Mayer and Karl Schmedders
University of Zurich, Students, Zurich Insurance Group, University of Zurich - Institute of Business Administration and IMD
Downloads 396 (137,949)

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Insurance regulation; liability cash flows; linear programming; out-of-sample tests; replicating portfolios; Solvency II

5.

Theory Matters for Financial Advice!

Swiss Finance Institute Research Paper No. 14-22
Number of pages: 27 Posted: 28 Mar 2014
Thorsten Hens and Janos Mayer
University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 257 (218,284)
Citation 1

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Cumulative Prospect Theory, Expected Utility Analysis, Mean Variance Analysis

6.

A Note on Reward-Risk Portfolio Selection and Two-Fund Separation

Number of pages: 9 Posted: 24 Nov 2010
Enrico G. De Giorgi, Thorsten Hens and Janos Mayer
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and University of Zurich - Institute of Business Administration
Downloads 238 (235,429)
Citation 2

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Two-fund separation, reward-risk preferences

7.

Existence of Sunspot Equilibria and Uniqueness of Spot Market Equilibria: The Case of Intrinsically Complete Markets

IEW Working Paper No. 188
Number of pages: 35 Posted: 06 Jun 2004
Thorsten Hens, Beate Pilgrim and Janos Mayer
University of Zurich - Department of Banking and Finance, University of Zurich - Department of Economics and University of Zurich - Institute of Business Administration
Downloads 108 (457,613)
Citation 20

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Sunspot Equilibria, Transfer Paradox