How suboptimal are linear sharing rules?

DOI10.1007/S10436-016-0279-3MaRDI QIDQ315471zbMATH OpenOpenAlexFDO

Authors Bjarne Astrup Jensen, Jørgen Aase Nielsen

Publication date 21 September 2016

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://research-api.cbs.dk/ws/files/45060975/bjarne_astrup_jensen_how_suboptimal_are_linear_sharing_rules.pdf

zbMATH Keywords

constrained portfolio choicelinear sharing rulesPareto optimal sharing rulessuboptimal sharing rules

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• An Intertemporal General Equilibrium Model of Asset Prices
• Financial markets equilibrium with heterogeneous agents
• Heterogeneity and option pricing
• Instability of financial markets and preference heterogeneity
• Investor heterogeneity, asset pricing and volatility dynamics
• Optimum consumption and portfolio rules in a continuous-time model
• Representative consumer's risk aversion and efficient risk-sharing rules
• Robust portfolio choice with stochastic interest rates
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
• The relaxed investor and parameter uncertainty
• When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
• Who buys and who sells options: the role of options in an economy with background risk

Cited in

(6)

• Robust decisions for heterogeneous agents via certainty equivalents
• A collective investment problem in a stochastic volatility environment: the impact of sharing rules
• Optimal sharing rule for a household with a portfolio management problem
• Actuarial fairness and social welfare in mixed-cohort tontines
• Utilitarian versus neutralitarian design of endowment fund policies
• Optimal collective investment: an analysis of individual welfare

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