The equilibrium allocation of diffusive and jump risks with heterogeneous agents

Article Abstract:

A study examining the strategies of two agents trading in financial markets made up stock market, money market and insurance market is presented. The two agents have different levels of risk aversion. It is observed that the less risk averse agent purchased more insurance contracts than the other to cover the jump risks, bringing in some sort of equilibrium in the investments.

Asset & Risk Management, Methods, Analysis, Risk management, Comparative analysis, Financial markets

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Finding a maximum skewness portfolio- a general solution to three-moments portfolio choice

Article Abstract:

The need for a method comprising situations in which the investor trades a negative skewness for a higher expected return is general and proved. Computation of the optimum portfolio weights is feasible in most cases.

Return on investment, Duality theory (Mathematics), Rate of return

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Optimal portfolios under a value-at-risk constraint

Article Abstract:

The optimal portfolio problem is looked after when a value-at-risk constraint is imposed. Investments in risky assets are minimized by the imposed value-at-risk constraint.

Capital investments, Capital investment

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