Taxation, Risk, and Portfolio Choice: The Treatment of Returns to Risk Under a Normative Income Tax [PDF]
, 2013 Many articles in the legal and economic literature claim that a pure Haig-Simons income tax cannot effectively tax investment income. This is because an investor can use leverage to gross up her investments in risky assets such that the increased gain ...
Brooks, John R.
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Diversification Preferences in the Theory of Choice
, 2015 Diversification represents the idea of choosing variety over uniformity. Within the theory of choice, desirability of diversification is axiomatized as preference for a convex combination of choices that are equivalently ranked.
De Giorgi, Enrico G., Mahmoud, Ola
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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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New trading strategy in investment and a new anomaly: A study of the hedge funds from emerging and developed markets. [PDF]
Heliyon, 2023 Wong WK +4 more
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Testing Downside Risk Efficiency Under Market Distress [PDF]
, 2008 In moments of distress downside risk measures like Lower Partial Moments (LPM) are more appropriate than the standard variance to characterize risk. The goal of this paper is to study how to compare portfolios in these situations.
Gonzalo, J., Olmo, J.
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Stock Portfolio Optimization Using a Combined Approach of Multi Objective Grey Wolf Optimizer and Machine Learning Preselection Methods. [PDF]
Comput Intell Neurosci, 2022 Mazraeh NB +3 more
europepmc +1 more source
Portfolio Analysis Based on Markowitz Stochastic Dominance Criteria: A Behavioral Perspective
This paper develops stochastic optimization problems for describing and analyzing behavioral investors with Markowitz Stochastic Dominance (MSD) preferences. Specifically, we establish dominance conditions in a discrete state-space to capture all reverse S-shaped MSD preferences as well as all subjective decision weights generated by inverse S-shaped ...
openaire +2 more sources
Data-driven distillation and precision prognosis in traumatic brain injury with interpretable machine learning. [PDF]
Sci Rep, 2023 Tritt A +9 more
europepmc +1 more source
Preferences over Meyer’s Location-Scale Family [PDF]
This paper extends Meyer’s (1987) location-scale family with general n random seed sources. Firstly, we clarify and generalize existing results to this multivariate setting.
Chenghu Ma, Wing-Keung Wong
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Stochastic Dominance Efficiency Tests under Diversification [PDF]
This paper focuses on Stochastic Dominance (SD) efficiency in a finite empirical panel data. We analytically characterize the sets of unsorted time series that dominate a given evaluated distribution by the First, Second, and Third order SD.
Timo Kuosmanen
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