Matches in SemOpenAlex for { <https://semopenalex.org/work/W1620199887> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W1620199887 endingPage "337" @default.
- W1620199887 startingPage "318" @default.
- W1620199887 abstract "For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs don’t fall much below a reference value, but relaxed about exceeding it. We find that the payoff distribution delivered by a cautious-relaxed utility measure has appealing features which payoff distributions delivered by traditional utility functions don’t. In particular, cautious-relaxed distributions can have the mass concentrated on the left, hence be left-skewed. However, cautious-relaxed strategies prescribe frequent portfolio adjustments which may be expensive if transaction costs are charged. In contrast, more traditional strategies can be time-invariant. Thus we investigate the impact of transaction costs on the appeal of cautious-relaxed strategies. We find that relatively high transaction fees are required for the cautious-relaxed strategy to lose its appeal. This paper contributes to the literature which compares utility measures by the payoff distributions they produce and finds that a cautious-relaxed utility measure will deliver payoffs that many investors will prefer." @default.
- W1620199887 created "2016-06-24" @default.
- W1620199887 creator A5037289378 @default.
- W1620199887 date "2015-08-21" @default.
- W1620199887 modified "2023-09-25" @default.
- W1620199887 title "Delivering Left-Skewed Portfolio Payoff Distributions in the Presence of Transaction Costs" @default.
- W1620199887 cites W1985515068 @default.
- W1620199887 cites W1987061795 @default.
- W1620199887 cites W1992617014 @default.
- W1620199887 cites W2004377114 @default.
- W1620199887 cites W2005158847 @default.
- W1620199887 cites W2021860001 @default.
- W1620199887 cites W2031843799 @default.
- W1620199887 cites W2035585429 @default.
- W1620199887 cites W2041946752 @default.
- W1620199887 cites W2101019468 @default.
- W1620199887 cites W2114199397 @default.
- W1620199887 cites W2115814664 @default.
- W1620199887 cites W2124702171 @default.
- W1620199887 cites W2134306794 @default.
- W1620199887 cites W2139626805 @default.
- W1620199887 cites W3121253679 @default.
- W1620199887 cites W3121690653 @default.
- W1620199887 cites W3122225907 @default.
- W1620199887 cites W3122384088 @default.
- W1620199887 cites W3125129325 @default.
- W1620199887 cites W4241627017 @default.
- W1620199887 doi "https://doi.org/10.3390/risks3030318" @default.
- W1620199887 hasPublicationYear "2015" @default.
- W1620199887 type Work @default.
- W1620199887 sameAs 1620199887 @default.
- W1620199887 citedByCount "4" @default.
- W1620199887 countsByYear W16201998872017 @default.
- W1620199887 countsByYear W16201998872020 @default.
- W1620199887 countsByYear W16201998872022 @default.
- W1620199887 countsByYear W16201998872023 @default.
- W1620199887 crossrefType "journal-article" @default.
- W1620199887 hasAuthorship W1620199887A5037289378 @default.
- W1620199887 hasBestOaLocation W16201998871 @default.
- W1620199887 hasConcept C106159729 @default.
- W1620199887 hasConcept C144237770 @default.
- W1620199887 hasConcept C149782125 @default.
- W1620199887 hasConcept C162118730 @default.
- W1620199887 hasConcept C162324750 @default.
- W1620199887 hasConcept C175444787 @default.
- W1620199887 hasConcept C205706631 @default.
- W1620199887 hasConcept C22171661 @default.
- W1620199887 hasConcept C2780821815 @default.
- W1620199887 hasConcept C98965940 @default.
- W1620199887 hasConceptScore W1620199887C106159729 @default.
- W1620199887 hasConceptScore W1620199887C144237770 @default.
- W1620199887 hasConceptScore W1620199887C149782125 @default.
- W1620199887 hasConceptScore W1620199887C162118730 @default.
- W1620199887 hasConceptScore W1620199887C162324750 @default.
- W1620199887 hasConceptScore W1620199887C175444787 @default.
- W1620199887 hasConceptScore W1620199887C205706631 @default.
- W1620199887 hasConceptScore W1620199887C22171661 @default.
- W1620199887 hasConceptScore W1620199887C2780821815 @default.
- W1620199887 hasConceptScore W1620199887C98965940 @default.
- W1620199887 hasIssue "3" @default.
- W1620199887 hasLocation W16201998871 @default.
- W1620199887 hasLocation W16201998872 @default.
- W1620199887 hasOpenAccess W1620199887 @default.
- W1620199887 hasPrimaryLocation W16201998871 @default.
- W1620199887 hasRelatedWork W1990430327 @default.
- W1620199887 hasRelatedWork W2062672909 @default.
- W1620199887 hasRelatedWork W2138108189 @default.
- W1620199887 hasRelatedWork W2155283456 @default.
- W1620199887 hasRelatedWork W2890879680 @default.
- W1620199887 hasRelatedWork W3121650566 @default.
- W1620199887 hasRelatedWork W3125325143 @default.
- W1620199887 hasRelatedWork W4281664098 @default.
- W1620199887 hasRelatedWork W4304699934 @default.
- W1620199887 hasRelatedWork W3122766763 @default.
- W1620199887 hasVolume "3" @default.
- W1620199887 isParatext "false" @default.
- W1620199887 isRetracted "false" @default.
- W1620199887 magId "1620199887" @default.
- W1620199887 workType "article" @default.