✦ LIBER ✦

Portfolio optimization under asset pricing anomalies

✍ Scribed by Pin-Huang Chou; Wen-Shen Li; Guofu Zhou

Book ID: 113681271
Publisher: Elsevier Science
Year: 2006
Tongue: English
Weight: 424 KB
Volume: 18
Category: Article
ISSN: 0922-1425
DOI: 10.1016/j.japwor.2004.08.002

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Portfolio selection and asset pricing un

Portfolio selection and asset pricing under a benchmark approach

✍ Eckhard Platen 📂 Article 📅 2006 🏛 Elsevier Science 🌐 English ⚖ 152 KB

The paper presents classical and new results on portfolio optimization, as well as the fair pricing concept for derivative pricing under the benchmark approach. The growth optimal portfolio is shown to be a central object in a market model. It links asset pricing and portfolio optimization. The pape

Dynamic portfolio choice under asset pri

Dynamic portfolio choice under asset price lognormality

✍ Alain Nairay 📂 Article 📅 1992 🏛 Elsevier Science 🌐 English ⚖ 597 KB

Asset Price Anomalies under Bounded Rati

Asset Price Anomalies under Bounded Rationality

✍ Emilio Barucci; Roberto Monte; Roberto Renò 📂 Article 📅 2004 🏛 Springer US 🌐 English ⚖ 125 KB

GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON

GROWTH-OPTIMAL PORTFOLIO RESTRICTIONS ON ASSET PRICING MODELS

✍ BANSAL, RAVI; LEHMANN, BRUCE N. 📂 Article 📅 1997 🏛 Cambridge University Press 🌐 English ⚖ 238 KB

Portfolio Selection and Asset Pricing Mo

Portfolio Selection and Asset Pricing Models

✍ Ľuboš Pástor 📂 Article 📅 2000 🏛 John Wiley and Sons 🌐 English ⚖ 586 KB

Robust Portfolio Rules and Asset Pricing

✍ Maenhout, P. J. 📂 Article 📅 2004 🏛 Oxford University Press 🌐 English ⚖ 223 KB