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Asset prices and portfolio choice with learning from experience

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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

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Asset price volatility and investment horizons : an experimental investigation

Anufriev, Mikhail; Chernulich, Aleksei; Tuinstra, Jan - In: Journal of economic behavior & organization : JEBO 193 (2022), pp. 19-48

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Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility

Yan, Tingjin; Han, Bingyan; Pun, Chi Seng; Wong, Hoi Ying - In: Mathematics and financial economics 14 (2020) 4, pp. 699-724

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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Bollerslev, Tim; Gibson, Michael S.; Zhou, Hao - In: Journal of econometrics 160 (2011) 1, pp. 235-245

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Parametric inference and dynamic state recovery from option panels

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 3, pp. 1081-1145

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Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

Bollerslev, Tim (contributor); … - 2004

"This paper proposes a method for constructing a volatility risk premium, or investor risk aversion, index. The method … option-implied volatility measures. A small-scale Monte Carlo experiment suggests that the procedure works well in practice … volatilities results in significant temporal dependencies in the estimated stochastic volatility risk premium, which we in turn …