Essays about: "Certainty equivalent of wealth"

Found 2 essays containing the words Certainty equivalent of wealth.

1. 1. Strategic Asset Allocation - The Impact of Foreign Exposure on Portfolio Choice

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Philip Robertsson; [2016]
   Keywords : Strategic asset allocation; Dynamic programming; Foreign exposure; Portfolio choice; Certainty equivalent of wealth; Business and Economics;

   Abstract : Plenty of research has been made on strategic asset allocation, but the focus on foreign market exposure is sparse. This paper analyzes how the investor’s portfolio choice is affected when exposed to four foreign assets, one domestic asset, and the risk free interest rate. READ MORE

3. 2. Portfolio Selection with Risky Labor Income

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Sebastian Tham; Axel Trolle-Henckel; [2008]
   Keywords : Human capital; portfolio selection; hedging risky labor income;

   Abstract : By accounting for the size of future wages and their covariance with other assets, a Swedish investor can increase his or her certainty equivalent of total wealth by between 3 and 89 basis points on an annualized basis, given stable risk-return relationships and depending on a number of factors. We develop a two-period model which accounts for multiple risky future wages and multiple risky assets. READ MORE