Journal Article10.1111/J.1540-6261.1975.TB01857.X
On expected value vs. expected future value
Elisha A. Pazner,Assaf Razin +1 more
TL;DR: In this paper, a risk-neutral investor who is interested only in expected values (present or future) of wealth is considered, and the implications of the analysis for the problem of portfolio selection are discussed.
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Abstract: be more investment promoting than the second. The implications of the analysis for the problem of portfolio selection are also discussed. The formal discussion presented below concentrates on a risk-neutral investor who is thus interested only in expected values (present or future) of wealth. Our approach can obviously serve as a starting point for the analysis of the implications of cost-of-capital uncertainty for investors who are not risk-neutral in wealth. In order not to detract from the main point, we have confined our detailed discussion to the first case only.
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Citations
Volatility Spillover: Garch Analysis of S&P 500’s Influence on Precious Metals
Edo Duran,Zoran Grubišić,Milena Lazić +2 more
TL;DR: Volatility spillovers exist between the S&P 500 and precious metals. However, the impact of crises on precious metals differs between gold, silver and platinum.
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Expected Net Present Value, Expected Net Future Value, and the Ramsey Rule
TL;DR: In this article, the authors reconcile the two approaches by introducing risk aversion and risk-neutral probabilities, and they show that if the aggregate consumption path is optimized, the two criteria are equivalent.
Expected net present value, expected net future value, and the Ramsey rule
TL;DR: In this article, the authors show that if the aggregate consumption path is optimized and made flexible to news about future interest rates, the two criteria are equivalent, and they are also equivalent to the Ramsey rule extended to uncertainty.
References
Lifetime Portfolio Selection By Dynamic Stochastic Programming
TL;DR: In this paper, the optimal consumption-investment problem for an investor whose utility for consumption over time is a discounted sum of single-period utilities, with the latter being constant over time and exhibiting constant relative risk aversion (power-law functions or logarithmic functions), is discussed.
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A Model of Investment Under Interest Rate Uncertainty
Elisha A. Pazner,Assaf Razin +1 more
TL;DR: In this article, the effect of uncertainty in interest rates on the level of investment has been investigated and it has been shown that the investment level increases with increases in interest rate uncertainty.
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