Optimal Risk-Averse Timing of an Asset Sale : Trending vs Mean-Reverting Price Dynamics
Year of publication: |
2019
|
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Authors: | Leung, Tim |
Other Persons: | Wang, Zheng (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection | Mean Reversion | Mean reversion | Zeit | Time | Stochastischer Prozess | Stochastic process |
Extent: | 1 Online-Ressource (25 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Annals of Finance, Volume 15, Issue 1, pp.1–28, 2019 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 9, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.2786176 [DOI] |
Classification: | C41 - Duration Analysis ; G11 - Portfolio Choice ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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