Results 311 to 320 of about 1,376,217 (363)
SSRN Electronic Journal, 2011 We provide a model with endogenous portfolios of secured and unsecured household debt. Secured debt is collateralized by owner-occupied housing whereas unsecured debt can be discharged according to bankruptcy regulations. We show that the calibrated model matches important quantitative characteristics of observed wealth and debt portfolios for prime ...
Hintermaier, Thomas, Koeniger, Winfried
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, 1971
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Harry M. Markowitz
semanticscholar +1 more source
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Harry M. Markowitz
semanticscholar +1 more source
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
, 1969OST models of portfolio selection have M been one-period models. I examine the combined problem of optimal portfolio selection and consumption rules for an individual in a continuous-time model whzere his income is generated by returns on assets and ...
R. C. Merton
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Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?
, 2009We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1-N portfolio.
Victor DeMiguel +2 more
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A Simplified Model for Portfolio Analysis
, 1963This paper describes the advantages of using a particular model of the relationships among securities for practical applications of the Markowitz portfolio analysis technique.
W. Sharpe
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Consumption and Portfolio Choice over the Life Cycle
, 2005This article solves a realistically calibrated life cycle model of consumption and portfolio choice with non-tradable labor income and borrowing constraints.
João F. Cocco +2 more
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The Journal of Finance, 1975
IN THE FIRST SECTION of this paper we describe a portfolio game in which the players manage portfolios of hypothetical stocks with the aid of some equally hypothetical analysts. The players compete not only against one another but also against the market index and a portfolio managed by means of the Sharpe model.
Brealey, Richard A, Hodges, S D
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IN THE FIRST SECTION of this paper we describe a portfolio game in which the players manage portfolios of hypothetical stocks with the aid of some equally hypothetical analysts. The players compete not only against one another but also against the market index and a portfolio managed by means of the Sharpe model.
Brealey, Richard A, Hodges, S D
openaire +2 more sources