scientific article

zbMath1169.91003MaRDI QIDQ3619682

Costis Skiadas

Publication date: 8 April 2009

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

risk aversionarbitragemean-variance analysisdynamic optimalityportfoliosfinancial marketfinancial contractsdominant choice and option pricingdynamic arbitrage pricingoptimal consumption and portfolio choiceoptimality and equilibriumrepresentative-agent pricing

Mathematics Subject Classification ID

Related Items (43)

A Bayesian beta Markov random field calibration of the term structure of implied risk neutral densities ⋮ Predetermined interest rates in an analytical RBC model ⋮ Measuring systematic risk with neural network factor model ⋮ Preference Robust Modified Optimized Certainty Equivalent ⋮ A dynamic equilibrium model for U-shaped pricing kernels ⋮ Portfolio performance of linear SDF models: an out-of-sample assessment ⋮ On LASSO for predictive regression ⋮ The perfect marriage and much more: combining dimension reduction, distance measures and covariance ⋮ Cash holdings, M\&A decision and risk premium ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty ⋮ Dynamic choice with constant source-dependent relative risk aversion ⋮ High-dimensional latent panel quantile regression with an application to asset pricing ⋮ An analytic market condition for mutual fund separation: demand for the non-sharpe ratio maximizing portfolio ⋮ Penetrating sporadic return predictability ⋮ Enter the MATRIX model:a multi-agent model for transition risks with application to energy shocks ⋮ Intraday cross-sectional distributions of systematic risk ⋮ An approximation approach to dynamic programming with unbounded returns ⋮ Convex dynamic programming with (bounded) recursive utility ⋮ A Simple Method for Predicting Covariance Matrices of Financial Returns ⋮ Asset pricing with neural networks: significance tests ⋮ Large-scale Sparse Inverse Covariance Matrix Estimation ⋮ Technical Note—Options Portfolio Selection ⋮ A two price theory of financial equilibrium with risk management implications ⋮ EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS ⋮ History of mathematics: a global cultural approach. Abstracts from the workshop held December 13--19, 2020 (online meeting) ⋮ OPTION PRICING IN MARKETS WITH INFORMED TRADERS ⋮ Envelope theorems in Banach lattices and asset pricing ⋮ Modeling systemic risk with Markov switching graphical SUR models ⋮ On aggregation and representative agent equilibria ⋮ Divergent risk-attitudes and endogenous collateral constraints ⋮ Inference for conditional value-at-risk of a predictive regression ⋮ Solving Euler equations via two-stage nonparametric penalized splines ⋮ Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013 ⋮ General equilibrium pricing with multiple dividend streams and regime switching ⋮ GLOBAL AND REGIONAL RISKS IN CURRENCY RETURNS ⋮ Hedging insurance books ⋮ Portfolio theory for squared returns correlated across time ⋮ Measure distorted arrival rate risks and their rewards ⋮ Leveraging a call-put ratio as a trading signal ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ Dynamic principal component CAW models for high-dimensional realized covariance matrices ⋮ Consumption-investment problem with pathwise ambiguity under logarithmic utility

This page was built for publication: