Determination and estimation of risk aversion coefficients
Author:
Funder
Stockholm University
Publisher
Springer Science and Business Media LLC
Subject
Information Systems,Management Information Systems
Link
http://link.springer.com/article/10.1007/s10287-018-0317-x/fulltext.html
Reference42 articles.
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2. Alexander GJ, Baptista AM (2004) A comparison of VaR and CVaR constraints on portfolio selection with the mean-variance model. Manag Sci 50:1261–1273
3. Alexander GJ, Baptista AM (2011) Portfolio selection with mental accounts and delegation. J Bank Finance 35:2637–2656
4. Alexander GJ, Baptista AM, Yan S (2009) Reducing estimation risk in optimal portfolio selection when short sales are allowed. Manag Decis Econ 30:281–305
5. Berk JB (1997) Necessary conditions for the CAPM. J Econ Theory 73:245–257
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