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Socialism and Intrafirm Asset Allocation
European Financial Management, 2003We rely on a survey of Swiss firms to document deviation from first-best for reasons of internal "fairness" when allocating resources. This "socialist" practice is more widespread in smaller than in larger firms. It ignores the reputation and past performance of the managers who apply for funding, but takes into account their hierarchical position ...
Loderer, Claudio +2 more
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Diese Dissertation stellt eine umfassende Untersuchung von robusten Anlagestrategien im Kontext des Finanzportfolio-Managements dar, einem Thema von höchster Bedeutung und großem Interesse für Investoren im Hinblick auf die Herausforderungen und Komplexitäten moderner Finanzmärkte.
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Robust Portfolio Asset Allocation
2011Selection of stocks in a portfolio of shares represents a very interesting problem of ‘optimal classification’. Often such optimal allocation is determined by second-order conditions which are very sensitive to outliers. Classical Markowitz estimators of the covariance matrix seem to provide poor results in financial management, so we propose an ...
GROSSI, Luigi, LAURINI, Fabrizio
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A Possibilistic Framework for Asset Allocation
2003This paper is a first step in laying down a theoretical foundation for asset allocation under uncertainty, based on possibility theory. First, fuzzy financial knowledge representation is treated. Then, some issues relevant to financial decision making are approached from the standpoint of possibility theory.
Célia da Costa Pereira +1 more
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On The Shape of Risk Aversion and Asset Allocation [PDF]
SSRN Electronic Journal, 2011 This paper demonstrates the simple incorporation of any shape of risk aversion into an asset allocation framework. Indeed, the relevant literature about risk aversion shows mixed evidence regarding the shape of this important but subjective variable. Our setting builds on, and can be compared with, the well-known constant relative risk aversion (CRRA)
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Horses for courses: Mean-variance for asset allocation and 1/N for stock selection
European Journal of Operational Research, 2021Tong Ye +2 more
exaly
Financial literacy and asset allocation among retired residents: evidence from China
Journal of the Asia Pacific Economy, 2022Yingqi Yu
exaly
Evolutionary Multiperiod Asset Allocation.
2000Portfolio construction can become a very complicated problem, as regulatory constraints, individual investor's requirements, non-trivial indices of risk and subjective quality measures are taken into account, together with multiple investment horizons and cash-flow planning.
S. Baglioni +3 more
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