Janos Mayer

University of Zurich - Institute of Business Administration

Moussonstrasse 15

Zurich, CH-8044

Switzerland

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 16,371

SSRN RANKINGS

Top 16,371

in Total Papers Downloads

2,925

SSRN CITATIONS
Rank 25,790

SSRN RANKINGS

Top 25,790

in Total Papers Citations

0

CROSSREF CITATIONS

0

Scholarly Papers (7)

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
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 1,322 (14,209)
Citation 3

Abstract:

Loading...

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
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 550 (49,161)
Citation 2

Abstract:

Loading...

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

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 320 (93,447)
Citation 1

Abstract:

Loading...

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 1 (685,492)
  • Add to Cart

Abstract:

Loading...

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
University of Zurich, Students, Zurich Insurance Group, University of Zurich - Institute of Business Administration and University of Zurich
Downloads 248 (123,381)

Abstract:

Loading...

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 215 (142,000)
Citation 1

Abstract:

Loading...

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
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 186 (162,485)

Abstract:

Loading...

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 83 (298,809)
Citation 19

Abstract:

Loading...

Sunspot Equilibria, Transfer Paradox