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Portfolio Choice with Endogenous Utility: A Large Deviations Approach · Study

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PreprintPortfolio Choice with Endogenous Utility: A Large Deviations Approach

Michael Jay Stutzer2003

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Preprintgreen2003

Portfolio Choice with Endogenous Utility: A Large Deviations Approach

Michael Jay Stutzer

26 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

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References

1986Generalized autoregressive conditional heteroskedasticity 2000Conditional Skewness in Asset Pricing Tests 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1969Lifetime Portfolio Selection By Dynamic Stochastic Programming 1996The Equity Premium: It's Still a Puzzle 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices 1995072103 (E50, M20) Option pricing by Esscher transforms

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Details

Year2003

Typepreprint

Published2003-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations26

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.439400

openalex_workW2160053449

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