Showing 1 - 8 of 8
Persistent link: https://www.econbiz.de/10002878239
Persistent link: https://www.econbiz.de/10001689160
Persistent link: https://www.econbiz.de/10001737272
Persistent link: https://www.econbiz.de/10001493702
Recently much progress has been made in developing optimal portfolio choice models accomodating time-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions. One reason is that most studies assume investors behave...
Persistent link: https://www.econbiz.de/10012470967
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....
Persistent link: https://www.econbiz.de/10012787129
Recently much progress has been made in developing optimal portfolio choice models accomodating time-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions. One reason is that most studies assume investors behave...
Persistent link: https://www.econbiz.de/10012788074
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....
Persistent link: https://www.econbiz.de/10012469608