Recursos de colección

UTL Repository Universidade Técnica de Lisboa (37.462 recursos)

O Repositório Institucional da Universidade Técnica de Lisboa desenvolvido no âmbito do projecto RCAAP. Este repositório destina-se a recolher, preservar e disponibilizar o acesso às publicações científicas e didácticas de seis: Escolas da UTL: Faculdade de Medicina Veterinária, Instituto Superior de Agronomia, Instituto Superior de Economia e Gestão, Instituto Superior de Ciências Sociais e Políticas , Faculdade de Motricidade Humana, Faculdade de Arquitectura. O Instituto Superior Técnico, igualmente Escola Da UTL, tem repositório independente.

Mostrando recursos 1 - 3 de 3

  1. Portfolio choice with high frequency data : CRRA preferences and the liquidity effect

    Brito, R.P.; Sebastião, H.; Godinho, P.
    This paper suggests a new approach for portfolio choice. In this frame- work, the investor, with CRRA preferences, has two objectives: the maximization of the expected utility and the minimization of the portfolio expected illiquidity. The CRRA utility is measured using the portfolio realized volatility, realized skewness and realized kurtosis, while the portfolio illiquidity is measured using the well-known Amihud illiquidity ratio. Therefore, the investor is able to make her choices directly in the expected utility/liquidity (EU/L) bi-dimensional space. We conduct an empiri- cal analysis in a set of fourteen stocks of the CAC 40 stock market index, using high...
    - 03-jul-2018

  2. Migration outflows and optimal migration policy: rules versus discretion

    Issifou, Ismael; Magris, Francesco
    We study the effects of more open borders on return migration and show that migrants are more likely to return to the origin country when migration rules are softened, because this implies that they could more easily re-migrate if return migration is unsuccessful. As a result, softening migration rules leads to lower net inflows than is generally acknowledged. We show that if government follows rules to shape the optimal migration policy, it will choose more open “borders” than were its behaviour to be discretionary. However, this requires an appropriate commitment technology. We show that electoral accountability may be a solution...
    - 03-jul-2018

  3. One-period pricing strategy of 'money doctors' under cumulative prospect theory

    Liurui, Deng; Zilan, Liu
    We focus on the interaction between investors and portfolio managers, employing a cumulative prospect theory approach to the investor's preferences. ln an original way, we model trust in the manager and the relative anxiety about investing in a risky asset. Moreover, we investigate how tmst and anxiety affect the manager's fee and the portfolios of cumulative prospect theory investors. The novelty of our contribution relative to previous work is that we rely on cumulative prospect theory(CPT) rather than the classical mean-variance framework. Moreover, our research differs from traditional CPT work through an improved value function that accurately characterizes the reduction...
    - 03-jul-2018

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