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In this paper we will state the fundamental principles of the gauge approach to financial economics and demonstrate the ways of its application. In particular, modeling of real pricing processes will be considered for an example of S&P500 market index. Derivative pricing and portfolio theory are also briefly discussed.
of the Dissertation Three Essays on Asset Pricing, Portfolio Choice and Behavioral Finance.
This paper analyzes the investment decisions of insured banks under fixed-rate deposit insurance. The model takes into account the charter value and allows banks to dynamically revise their asset portfolios. Trade-offs exist between preserving the charter and exploiting deposit insurance. The optimal bank portfolio problem is solved analytically for a constant charter value. In any audit period...
This paper, adopting the recursive multiple-priors utility, studies the optimal consumption and portfolio choice in a Merton-style model with anticipation when there is a difference between ambiguity and risk. The fundamental issue is what the effects of ambiguity and anticipation on the investor’s behavior are. In the case of a logarithmic felicity function, the paper also shows that no hedgin...
Let MPT (v, 2) denote a maximum packing of triples of order v and index 2. An MPT (v, 2) is called simple if it contains no repeated triples. It is proved in this paper that for v > 2 and any even 2, the necessary and sufficient condition for the embedding of a simple MPT(v,2) in a simple MPT(u,).) is u >/2v + 1.
Weighted utility models attempt to account for risk preferences in terms of an expectation-like equation applied to the subjective evaluation of probabilities and outcomes, while Portfolio theory assumes that risk preference is a function of expected value and perceived risk. A pair of empirical predictions which contrasts Portfolio theory with all weighted utility models is derived and tested....
Two hundred venirepersons from the 12th Judicial Circuit in Bradenton, Florida completed the following measures: (1) one question that measured their level of support for the death penalty; (2) one question that categorized their death-qualification status; (3) 23 questions that measured their attitudes toward the death penalty (ATDP); (4) 22 questions that assessed their attitudes toward women...
⇑ Corresponding author at: National Center for Ecol 735 State Street, Santa Barbara, CA 93101, USA. Tel.: +
Essays on Household Portfolio Choice
To cite this article: Scott J. Davis, Shatiel B. Edwards, Gerald E. Teper, David G. Bassett, Michael J. McCarthy, Scott C. Johnson, Craig R. Lawton, Matthew J. Hoffman, Liliana Shelton, Stephen M. Henry, Darryl J. Melander, Frank M. Muldoon, Brian D. Alford, Roy E. Rice, (2016) Maximizing the U.S. Army’s Future Contribution to Global Security Using the Capability Portfolio Analysis Tool (CPAT)....
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