Internal Transactions for Multiple Risky Assets
نویسندگان
چکیده
منابع مشابه
Portfolio Selection with Multiple Risky Assets and Capital Gains Taxes
We analyze the portfolio choice of an investor who can invest in two risky assets (in addition to a riskless asset) and who is subject to taxes on realized capital gains. These taxes appear in the portfolio choice problem as a form of time-dependent, endogenous transaction costs. Similar to the case of portfolio choice with transaction costs, the optimal strategy of the taxable investor contain...
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To a decisionmaker facing a choice over a set of risky prospects the issue of ‘flexibility’, i.e., the ability to postpone other decisions until after the uncertainty is resolved, is a crucial one. Tisdell (1963) for example, has shown that the well known ‘preference’ of a risk neutral firm for random over constant prices (with the same mean) reduces to indifference when it is assumed that the ...
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A fund’s performance is usually compared to the performance of an index or other funds. If a fund trails the benchmark, the fund manager is often replaced. We argue that this may lead to excessive risk-taking if fund managers differ in ability and have the opportunity to take excessive risk. To match the benchmark, fund managers may increase the risk of their portfolio even if this decreases th...
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ژورنال
عنوان ژورنال: Open Journal of Statistics
سال: 2019
ISSN: 2161-718X,2161-7198
DOI: 10.4236/ojs.2019.91008