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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP7686.
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
Portfolio choice, asset allocation, investment management
empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility
File name: DP9456.
out-of-sample performance, portfolio choice, Serial dependence, vector autoregression
Dynamic portfolio choice, excess volatility, general equilibrium
Bayesian behavior, financial-market equilibrium, excess volatility, risk premia
File name: SSRN-id883707.
Behavioural equilibrium theory, non-Bayesian behaviour, portfolio choice
File name: DP6455.
Bayesian behaviour, excess volatility, financial-market equilibrium, risk premia
asset allocation, contagion, emerging markets, skewness, jump-diffusion processes
File name: DP3305.
Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes
Investment, portfolio choice, ambiguity, robust control
File name: DP7687.
ambiguity, diversification, investment, portfolio choice, robust control
Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis
File name: DP3306.
heterogeneity, general equilibrium, stationarity, equity risk premium, volatility
File name: DP9459.
Asset Pricing, General Equilibrium
Portfolio choice, asset allocation, estimation
File name: SSRN-id774207.
Portfolio choice, asset allocation, estimation error, uncertainty, ambiguity, robustness
File name: DP3304.
Portfolio choice, uncertainty, ambiguity, robust control
Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion
Asset pricing, derivative valuation, portfolio choice, incomplete markets
Excess volatility, general equilibrium, heterogeneous agents, prudence
File name: SSRN-id924405.
General equilibrium, options, volatility, risk-sharing
portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets
File name: DP10437.
alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs
Intertemporal optimization and decision making
File name: SSRN-id772787.
Intertemporal optimization, decision making
Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium
liquidity premium, incomplete markets, portfolio choice, heterogeneous agents
Portfolio choice, capital gains tax, optimization, nonlinear programming
File name: SSRN-id785164.
File name: DP3343.
General equilibrium, purchasing power parity, regression tests
Financial Innovation, Heterogeneous Beliefs, Parameter Uncertainty, Rational Learning, Spillover Effects, Recursive Utility, Alternative Assets
anomalies, risk, transaction costs, out of sample performance
behavioral finance, ambiguity aversion, underdiversification, aggregate growth, investment
stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following
Portfolio choice, underdiversification, familiarity bias, growth, social welfare
Active and passive portfolios, pricing errors, managerial skill, factor models, mean-variance portfolio, global-minimum-variance portfolio, estimation error, robust estimation
G12, D51, D52, D91
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