Christian Reichlin

ETH Zurich

Rämistrasse 101

CH-8092 Zurich, 8092

Switzerland

University of Zurich - Department of Banking and Finance

Schönberggasse 1

Zürich, 8001

Switzerland

  • ETH Zurich

  • University of Zurich - Department of Banking and Finance

SCHOLARLY PAPERS

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Scholarly Papers (3)

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1.

Three Solutions to the Pricing Kernel Puzzle

Review of Finance, Vol. 17, Issue 3, pp. 1065-1098, 2013
Number of pages: 34 Posted: 13 Apr 2010 Last Revised: 20 Oct 2013
Thorsten Hens and Christian Reichlin
University of Zurich - Department of Banking and Finance and ETH Zurich
Downloads 627 (66,802)
Citation 11

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Pricing kernel puzzle, Financial market equilibrium, Risk-seeking behaviour, Biased beliefs, Incomplete markets

2.

Utility Maximization with a Given Pricing Measure When the Utility Is Not Necessarily Concave

Mathematics and Financial Economics, Volume 7, Issue 4, pp 531-556, 2013
Number of pages: 32 Posted: 07 Oct 2011 Last Revised: 20 Oct 2013
Christian Reichlin
ETH Zurich
Downloads 277 (171,197)
Citation 4

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portfolio selection, non-concave utility, convex duality, behavioural finance

3.

Behavioural Portfolio Selection: Asymptotics and Stability Along a Sequence of Models

Mathematical Finance, Forthcoming
Number of pages: 40 Posted: 31 Jul 2012 Last Revised: 20 Oct 2013
Christian Reichlin
ETH Zurich
Downloads 203 (231,029)
Citation 1

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portfolio selection, non-concave utility, Choquet integral, stability, convergence, behavioural finance