Risk and volatility: econometric models and financial practice
Article Abstract:
Econometric models are used for evaluating risk and returns duly accounting for losses, if any. By assessing the reward an optimal portfolio can be built. Capital Asset Pricing Model, pricing of options, estimates of variances, financial management etc., are discussed.
Publication Name: American Economic Review
Subject: Economics
ISSN: 0002-8282
Year: 2004
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Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
Article Abstract:
Solution for an investor's optimum portfolio decision rules problem is presented. A detection-error probabilities calculation method for a mean-reverting risk premium is given as a solution.
Publication Name: Journal of Economic Theory
Subject: Economics
ISSN: 0022-0531
Year: 2006
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Risk aversion and allocation to long-term bonds
Article Abstract:
The value of a bond portfolio is discussed.
Publication Name: Journal of Economic Theory
Subject: Economics
ISSN: 0022-0531
Year: 2003
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