A consumption-based asset pricing model with disappointment aversion and uncertainty shocks
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DOI: 10.1016/j.econmod.2020.09.016
Abstract: Abstract We study a consumption-based asset pricing model with ‘good’ and ‘bad’ uncertainties. Good and bad uncertainties are characterized by two gamma distributions with time-varying shape parameters and they respectively represent potentially fat-tailed, skewed positive… read more here.
Keywords: asset pricing; based asset; consumption; disappointment aversion ... See more keywords
Constructing inverse factor volatility portfolios: A risk-based asset allocation for factor investing
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DOI: 10.1016/j.irfa.2019.101438
Abstract: Abstract In this study, we investigate risk-based asset allocation approaches for factor investing strategies by constructing a multifactor portfolio based on the inverse weighting method. We propose the inverse factor volatility (IFV) strategy, which is… read more here.
Keywords: factor volatility; risk based; based asset; inverse factor ... See more keywords
Consequence-of-Failure Model for Risk-Based Asset Management of Wastewater Pipes Using AHP
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DOI: 10.1061/(asce)ps.1949-1204.0000370
Abstract: AbstractRisk-based asset management focuses on prioritizing the most critical assets by evaluating their risk of failure. A typical way to determine the risk of failure is by assessing the asset’s ... read more here.
Keywords: risk; asset management; asset; based asset ... See more keywords
Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models
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DOI: 10.1371/journal.pone.0241318
Abstract: Most single-factor and multifactor asset pricing models constitute special cases of the consumption-based asset pricing theory, in which investors’ marginal utility is the key determinant of asset prices. However, in recent years, production-based asset pricing… read more here.
Keywords: pricing models; asset pricing; asset; based asset ... See more keywords