Measuring efficiency and risk preferences in dynamic portfolio choice

This paper uses non-parametric methods to study the efficiency (Dybvig,. 1988) and risk-profile (Varian, 1988) of dynamic portfolio choices.

This paper uses non-parametric methods to study the efficiency (Dybvig, 1988) and risk-profile (Varian, 1988) of dynamic portfolio choices.

Measuring Efficiency and Risk Preferences in Dynamic Portfolio ...

This paper uses non-parametric methods to study the efficiency (Dybvig, 1988) and risk-profile (Varian, 1988) of dynamic portfolio choices.

Measuring Efficiency and Risk Preferences in Dynamic Portfolio ...

Request PDF | On Jan 1, 2020, Jacopo Magnani and others published Measuring Efficiency and Risk Preferences in Dynamic Portfolio Choice | Find, read and ...

Measuring Efficiency and Risk Preferences in Dynamic Portfolio ...

List of references · Adjusting for efficiency losses lowers the standard deviation of (i) rates of return · Bruno Biais, Asset pricing and risk sharing in a ...

Efficiency of dynamic portfolio choices: An experiment

We study the efficiency of dynamic portfolio choices using the nonparametric methods of Dybvig (1988) and Post (2003).

Portfolio choice under dynamic investment performance criteria

while its reciprocal, the investor's local risk aversion, solves a porous medium equation. The proposed method provides closed form solutions to the optimal ...

Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR

We plot the efficient frontier for the mean-WVaR portfolio choice problem (12). ... portfolio optimization with state dependent risk aversion. Math. Finance 24 ...

WHAT DRIVES INVESTORS' PORTFOLIO CHOICES ...

We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) ... These results suggest that the dynamic ...

Dynamic portfolio selection with linear control policies for coherent ...

In this study, we address the dynamic portfolio selection problem of minimizing a coherent risk measure to construct an effective linear control policy. First, ...

WHAT DRIVES INVESTORS' PORTFOLIO CHOICES ...

Notes: This figure plots the coefficient of relative risk aversion that is calibrated or estimated in papers that solve dynamic life cycle portfolio choice.

The Effects of Credit Risk on Dynamic Portfolio Management

The general model of the study extends the traditional dynamic efficiency framework ... optimal returns, terminal wealth and portfolio selection strategies.

Dynamic Portfolio Choice with Linear Rebalancing Rules

Risk aversion. Portfolio managers seek to control the risk of their portfolios. In practical settings, risk aversion is not accomplished by the specification of ...

Financial Windfalls, Portfolio Allocations, and Risk Preferences | NBER

We show theoretically that negative wealth effects are consistent with both constant and decreasing relative risk aversion and analyze how our ...

Risk management and dynamic portfolio selection with stable ...

In particular, we compare the performance of dynamic strategies based on a stable Paretian model and on a moment-based model. The literature on multi-period ...

Dynamic Portfolio Choice when Risk is Measured by Weighted VaR

We plot the efficient frontier for the mean-WVaR portfolio choice problem (12). ... Mean-variance portfolio optimization with state dependent risk aversion.

Dynamic Portfolio Choice with Frictions - Nicolae Bogdan Gârleanu

Section 3 shows how to extend the framework to accommodate time variation in such quantities as volatility, risk aversion, or transaction costs, while Section 4.

Dynamic Portfolio Choice and Risk Aversion

The optimal trading strategy of Equation (43) can deviate from an instan- taneously mean–variance efficient solution for two possible reasons. One is source ...

Portfolio Selection with respect to the Probabilistic Preference in ...

Then, using the cross-efficiency evaluation principle, the optimal investment ratios can be derived by fusing investors' multiple preferences ...

The Effects of Credit Risk on Dynamic Portfolio Management

Thirdly, it derives a convenient approach for determining an agent's risk aversion ... Markowitz, Harry (1959), Portfolio Selection: Efficient Diversification of ...