A unified formula of the optimal portfolio for piecewise hyperbolic absolute risk aversion utilities
Year of publication: |
2024
|
---|---|
Authors: | Liang, Zongxia ; Liu, Yang ; Ma, Ming ; Vinoth, Rahul Pothi |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 24.2024, 2, p. 281-303
|
Subject: | Asymptotic analysis | Empirical study | Non-differentiability | Portfolio selection | Utility theory | Portfolio-Management | Risikoaversion | Risk aversion | Nutzenfunktion | Utility function | Nutzentheorie | Risiko | Risk |
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