Showing 1 - 2 of 2
their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …
Persistent link: https://www.econbiz.de/10011382430
Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
Persistent link: https://www.econbiz.de/10011303296