Showing 1 - 4 of 4
We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov (RFS 2009). For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric...
Persistent link: https://www.econbiz.de/10012900495
We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov. For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric portfolio policy...
Persistent link: https://www.econbiz.de/10012899919
Persistent link: https://www.econbiz.de/10011982320
Persistent link: https://www.econbiz.de/10013464569