Search Results for author:
Found 2 papers, 0 papers with code
Mean-variance hybrid portfolio optimization with quantile-based risk measure
This paper addresses the importance of incorporating various risk measures in portfolio management and proposes a dynamic hybrid portfolio optimization model that combines the spectral risk measure and the Value-at-Risk in the mean-variance formulation.
Price Interpretability of Prediction Markets: A Convergence Analysis
In broader markets with Constant Relative Risk Aversion (CRRA) utilities, we reveal that the limiting price can be characterized by systems of equations that encapsulate agent beliefs, risk parameters, and wealth.
Cannot find the paper you are looking for? You can
Submit a new open access paper.
