Results 21 to 30 of about 3,406 (137)
Financial Review, Volume 60, Issue 4, Page 1483-1503, November 2025.ABSTRACT We study the target return strategy (TRS), which exits the market once the return reaches a preset target. We show that the holding‐period return (HPR) cannot mean‐variance dominate TRS, but TRS can mean‐variance dominate HPR. We theoretically analyze TRS and quantitatively illustrate that training targets by a mean‐variance utility ...
Ying Xue, Zheng Wen, Xu Jiang
wiley +1 more source
Forest through the Trees: Building Cross‐Sections of Stock Returns
The Journal of Finance, Volume 80, Issue 5, Page 2447-2506, October 2025.ABSTRACT We build cross‐sections of asset returns for a given set of characteristics, that is, managed portfolios serving as test assets, as well as building blocks for tradable risk factors. We use decision trees to endogenously group similar stocks together by selecting optimal portfolio splits to span the stochastic discount factor, projected on ...
SVETLANA BRYZGALOVA +2 more
wiley +1 more source
Portfolio choice and estimation risk : a comparison of Bayesian approaches to resampled efficiency [PDF]
, 2002 Estimation risk is known to have a huge impact on mean/variance (MV) optimized portfolios, which is one of the primary reasons to make standard Markowitz optimization unfeasible in practice.
Herold, Ulf, Maurer, Raimond
core
Structural Estimation of Higher Order Risk Preferences
Econometrica, Volume 93, Issue 5, Page 1855-1883, September 2025.Structural measures of higher order risk attitudes have well‐developed foundations in Expected Utility Theory (EUT), but little is known about their empirical magnitudes. We introduce a novel experimental design and a companion econometric model that allows us to structurally estimate indices of risk aversion, prudence, and temperance under EUT without
Morten I. Lau, Hong Il Yoo
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Portfolio Selection under Systemic Risk
Journal of Money, Credit and Banking, Volume 57, Issue 4, Page 905-949, June 2025.Abstract This paper proposes a modified Sharpe ratio to construct optimal portfolios under systemic events. The portfolio allocation problem is solved analytically under the absence of short‐selling restrictions and numerically when short‐selling restrictions are imposed.
WEIDONG LIN +2 more
wiley +1 more source
ESG investing & firm performance: Retrospections of past & reflections of future
Corporate Social Responsibility and Environmental Management, Volume 32, Issue 1, Page 1096-1121, January 2025.Abstract The purpose of this research is to investigate the current state of the literature on environmental, social, and governance (ESG) investing, and study the impact of ESG ratings on firm performance. Corporate sustainability has evolved as a concept and is increasingly being integrated with investment analysis.
Radhika Narula +3 more
wiley +1 more source
Management Science, Economics and Finance: A Connection [PDF]
, 2016 This paper provides a brief review of the connecting literature in management science, economics and finance, and discusses some research that is related to the three disciplines.
Chang, C-L. (Chia-Lin) +2 more
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Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Volume 72, Issue 4, Page 469-487, December 2024.Abstract Increasing frequency of extreme weather events threatens the livelihoods of low‐income farm households due to the heavy dependence on rain‐fed agriculture coupled with the under‐developed formal markets for risk management products. Thus, crop diversification is one of the widely used ex ante adaptation strategies to hedge against weather risk
Baba Adam, Awudu Abdulai
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Applied Stochastic Models in Business and Industry, Volume 40, Issue 6, Page 1689-1711, November/December 2024.ABSTRACT The Hawkes model is suitable for describing self and mutually exciting random events. In addition, the exponential decay in the Hawkes process allows us to calculate the moment properties of the model. However, owing to the complexity of the model and formula, few studies have examined the Hawkes volatility. In this study, we derive a variance
Kyungsub Lee
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Econometrica, Volume 92, Issue 6, Page 2069-2103, November 2024.We introduce Cautious Utility, a new model based on the idea that individuals are unsure of trade‐offs between goods and apply caution. The model yields an endowment effect, even when gains and losses are treated symmetrically. Moreover, it implies either loss aversion or loss neutrality for risk, but in a way unrelated to the endowment effect, and it ...
Simone Cerreia‐Vioglio +2 more
wiley +1 more source