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Distributional Analysis of Portfolio Choice
4 references·16 citing·40 second hop
Distributional Analysis of Portfolio Choice (1988)Distributional Analysis of Portfolio Choi…Games and Decisions (2015)Games and Decisions"Expected Utility" Analysis without the Independence Axiom (1982)"Expected Utility" Analysis w…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Admissibility and Measurable Utility Functions (1962)Admissibility and Measurable …The Pricing Kernel Puzzle: Survey and Outlook (2016)The Pricing Kernel Puzzle: Su…The Cost of Capital for Alternative Investments (2015)The Cost of Capital for Alter…Stock market investors' use of stop losses and the disposition effect (2015)Stock market investors' use o…Explicit Representation of Cost-Efficient Strategies (2014)Explicit Representation of Co…ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES (2014)ARROW–DEBREU EQUILIBRIA FOR R…An Empirical Test of Pricing Kernel Monotonicity (2014)An Empirical Test of Pricing …Utility maximization with a given pricing measure when the utility is not necessarily concave (2013)Utility maximization with a g…A Constant-Volatility Framework for Managing Tail Risk (2013)A Constant-Volatility Framewo…Three Solutions to the Pricing Kernel Puzzle (2012)Three Solutions to the Pricin…Pareto efficiency for the concave order and multivariate comonotonicity (2011)Pareto efficiency for the con…Locally Capped Investment Products and the RetailInvestor (2011)Locally Capped Investment Pro…PORTFOLIO CHOICE VIA QUANTILES (2010)PORTFOLIO CHOICE VIA QUANTILESWho Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication (2005)Who Needs Hedge Funds? A Copu…Benefits and risks of alternative investment strategies (2003)Benefits and risks of alterna…Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value? (2001)Hedge Fund Performance 1990-2…Efficient Trading Strategies in the Presence of Market Frictions (2001)Efficient Trading Strategies …The valuation of options for alternative stochastic processes (1976)Martingales and arbitrage in multiperiod securities markets (1979)Option pricing: A simplified approach (1979)Reward–risk portfolio selection and stochastic dominance (2004)On the optimal risk allocation problem (2006)Stochastic Dominance Bounds on American Option Prices in Markets with Frictions (2007)On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)Mutual Fund Performance (1966)The Pricing of Options and Corporate Liabilities (1973)Portfolio Optimization and Hedge Fund Style Allocation Decisions (2002)Hedge fund performance and persistence in bull and bear markets (2005)Fund of hedge funds portfolio selection: A multiple-objective approach (2009)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY (2013)Optimal insurance under rank‐dependent utility and incentive compatibility (2018)Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Bear beta (2018)Shadow Banking and Market-Based Finance (2018)Replicating Private Equity with Value Investing, Homemade Leverage, and Hold-to-Maturity Accounting (2021)Myopic Loss Aversion and the Equity Premium Puzzle (1993)Myopic Loss Aversion and the Equity Premium Puzzle (1995)Constrained non-concave utility maximization: An application to life insurance contracts with guarantees (2018)Optimal Investment of DC Pension Plan Under Short-Selling Constraints and Portfolio Insurance (2018)Optimal rules for ordering uncertain prospects (1975)Chapter 2 Measurement of inequality (2000)Lectures on Stochastic Programming: Modeling and Theory (2009)The Evolution of Reciprocal Altruism (1971)Characteristics of Organizational Environments and Perceived Environmental Uncertainty (1972)The New Institutionalism: Organizational Factors in Political Life (1983)The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence (1985)Theory of Financial Decision Making. (1988)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)On the construction of optimal payoffs (2019)
this work references cited by second hop

References

  • 2015Games and Decisions3,632 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1982"Expected Utility" Analysis without the Independence Axiom1,518 cited
  • 1962Admissibility and Measurable Utility Functions559 cited

Cited by

  • 2010PORTFOLIO CHOICE VIA QUANTILES177 cited
  • 2001Hedge Fund Performance 1990-2000: Do the Money Machines Really Add Value?126 cited
  • 2001Efficient Trading Strategies in the Presence of Market Frictions96 cited
  • 2015The Cost of Capital for Alternative Investments77 cited
  • 2013Utility maximization with a given pricing measure when the utility is not necessarily concave75 cited
  • 2014ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES71 cited
  • 2005Who Needs Hedge Funds? A Copula-Based Approach to Hedge Fund Return Replication69 cited
  • 2014An Empirical Test of Pricing Kernel Monotonicity66 cited
  • 2003Benefits and risks of alternative investment strategies66 cited
  • 2015Stock market investors' use of stop losses and the disposition effect65 cited
  • 2016The Pricing Kernel Puzzle: Survey and Outlook62 cited

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2011
Pareto efficiency for the concave order and multivariate comonotonicity
58 cited
  • 2012Three Solutions to the Pricing Kernel Puzzle57 cited
  • 2013A Constant-Volatility Framework for Managing Tail Risk55 cited
  • 2011Locally Capped Investment Products and the RetailInvestor51 cited
  • 2014Explicit Representation of Cost-Efficient Strategies47 cited