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Stochastic intertemporal optimization: Long-term debt continuous time

Jerome L. Stein

in Stochastic Optimal Control, International Finance, and Debt Crises

Published in print:
2006
Published Online:
May 2006
ISBN:
9780199280575
eISBN:
9780191603501
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199280576.003.0003
Subject:
Economics and Finance, Financial Economics

This chapter answers the following technical questions: In a stochastic environment, where the return on capital and the interest rate are stochastic, what is an optimal (1) long-term debt, (2) ... More


Myopic Portfolio Choice

John Y. Campbell and Luis M. Viceira

in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.003.0002
Subject:
Economics and Finance, Financial Economics

Reviews the theory of portfolio choice for short‐term investors, and explains the special cases in which long‐term investors should make the same choices as short‐term investors. When investors’ ... More


Logic and Revisability

Graham Priest

in Doubt Truth to be a Liar

Published in print:
2005
Published Online:
May 2006
ISBN:
9780199263288
eISBN:
9780191603631
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199263280.003.0011
Subject:
Philosophy, Logic/Philosophy of Mathematics

This chapter argues that logic is a theory, and can be revised as any other scientific theory. The comparison with geometry is helpful in this regard. It also discusses Quine’s views on the matter, ... More


Behavioral Portfolios: Hope for Riches and Protection from Poverty

Meir Statman

in Pension Design and Structure: New Lessons from Behavioral Finance

Published in print:
2004
Published Online:
January 2005
ISBN:
9780199273393
eISBN:
9780191601675
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199273391.003.0004
Subject:
Economics and Finance, Financial Economics

This chapter argues that the behavioural portfolio theory offers a good description of investor behaviour and a basis for good policy prescriptions. The theory states that investors view with ... More


Mean-Variance Investing

Andrew Ang

in Asset Management: A Systematic Approach to Factor Investing

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199959327
eISBN:
9780199382323
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199959327.003.0003
Subject:
Economics and Finance, Financial Economics

Mean-variance investing is all about diversification. By exploiting the interaction of assets with each other, so one asset’s gains can make up for another asset’s losses, diversification allows ... More


Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

John Y. Campbell and Luis M. Viceira

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.001.0001
Subject:
Economics and Finance, Financial Economics

One of the most important decisions many people face is the choice of a portfolio of assets for retirement savings. The leading academic paradigm of portfolio choice, the mean‐variance analysis of ... More


Introduction

John Y. Campbell and Luis M. Viceira

in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.003.0001
Subject:
Economics and Finance, Financial Economics

The mean‐variance paradigm has the strong implication that all investors should hold risky assets in the same proportion. Financial planners typically advise conservative investors to tilt their ... More


Portfolios, Pyramids, Emotions, and Biases

Hersh Shefrin

in Beyond Greed and Fear: Understanding Behavioral Finance and the Psychology of Investing

Published in print:
2002
Published Online:
November 2003
ISBN:
9780195161212
eISBN:
9780199832996
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0195161211.003.0010
Subject:
Economics and Finance, Financial Economics

Harry Markowitz, the pioneer of modern portfolio theory, developed the theory of mean‐variance portfolios, one of the pillars of standard finance. But he also developed the basic ideas that underlie ... More


Modern Portfolio Theory

Eric Jacquier

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0002
Subject:
Economics and Finance, Financial Economics

This chapter surveys modern portfolio theory, which is one of the most spectacular developments of finance in the last 50 years. It starts with the basic one-period setup under the assumption of ... More


Asset Pricing in an International Setting

LEIGH A. RIDDICK

in International Finance: A Survey

Published in print:
2012
Published Online:
May 2013
ISBN:
9780199754656
eISBN:
9780199979462
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199754656.003.0014
Subject:
Economics and Finance, Financial Economics, International

Several factors complicate the tasks of valuing assets in a portfolio and measuring their risk-adjusted performance in an international setting. Chief among these are currency and inflation effects ... More


Factor Models

Claus Munk

in Financial Asset Pricing Theory

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199585496
eISBN:
9780191751790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199585496.003.0010
Subject:
Economics and Finance, Econometrics

The consumption-based asset pricing models are elegant, but tests and applications suffer from the questionable quality of the available consumption data, and at least some of these models are ... More


Realism in Theory Construction

Ilkka Niiniluoto

in Critical Scientific Realism

Published in print:
2002
Published Online:
November 2003
ISBN:
9780199251612
eISBN:
9780191598098
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0199251614.003.0005
Subject:
Philosophy, Philosophy of Science

Theoretical realism claims—against instrumentalism (Stegmüller), constructive empiricism (van Fraassen), entity realism (Hacking, Cartwright), and structural realism (Worrall)—that the theoretical ... More


Preferences

Andrew Ang

in Asset Management: A Systematic Approach to Factor Investing

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199959327
eISBN:
9780199382323
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199959327.003.0002
Subject:
Economics and Finance, Financial Economics

Investors generally dislike the risk of losses during bad times. Optimal portfolio choice trades off these risks with the potential of returns. While mean-variance utility treats gains and losses ... More


Mean-Variance Analysis

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0005
Subject:
Economics and Finance, Financial Economics

The mean‐variance frontier is characterized with and without a risk‐free asset. The global minimum variance portfolio and tangency portfolio are defined, and two‐fund spanning is explained. The ... More


General Requirements for Casimir Force Measurements

M. Bordag, G. L. Klimchitskaya, U. Mohideen, and V. M. Mostepanenko

in Advances in the Casimir Effect

Published in print:
2009
Published Online:
September 2009
ISBN:
9780199238743
eISBN:
9780191716461
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199238743.003.0018
Subject:
Physics, Condensed Matter Physics / Materials, Atomic, Laser, and Optical Physics

Given that the Casimir force is very small and has a strong dependence on the separation distance and on the geometrical and material properties of the boundary surfaces, the measurement of this ... More


A review of random variable theory

Daniel T. Gillespie and Effrosyni Seitaridou

in Simple Brownian Diffusion: An Introduction to the Standard Theoretical Models

Published in print:
2012
Published Online:
January 2013
ISBN:
9780199664504
eISBN:
9780191748516
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199664504.003.0002
Subject:
Physics, Soft Matter / Biological Physics

In extending the analysis of diffusion beyond the traditional approach described in Chapter 1, the chapter here finds it necessary to work with random variables. This chapter gives a self-contained, ... More


Risk Management in a Normal World

Gilles Bénéplanc and Jean-Charles Rochet

in Risk Management in Turbulent Times

Published in print:
2011
Published Online:
April 2015
ISBN:
9780199774081
eISBN:
9780190258474
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:osobl/9780199774081.003.0010
Subject:
Business and Management, Finance, Accounting, and Banking

This chapter explores risk management in the Normal world. A Normal world where the mean-variance criterion can be used safely, portfolio choice is easy, the diversification principle works well, and ... More


Factor Models

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0006
Subject:
Economics and Finance, Financial Economics

The CAPM and factor models in general are explained. Factors can be replaced by the returns or excess returns that are maximally correlated (the projections of the factors). A factor model is ... More


Measuring and Managing Market Risk

Christoph Kaserer

in Portfolio Theory and Management

Published in print:
2013
Published Online:
May 2013
ISBN:
9780199829699
eISBN:
9780199979790
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199829699.003.0015
Subject:
Economics and Finance, Financial Economics

Market risk, which is caused by fluctuating market prices, is an extremely important risk not only for all institutional investors but also for large corporations and wealthy individuals. Therefore, ... More


Portfolio Choice

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0002
Subject:
Economics and Finance, Financial Economics

The portfolio choice model is introduced, and the first‐order condition is derived. Properties of the demand for a single risky asset are derived from second‐order risk aversion and decreasing ... More


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