Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
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DOI: 10.1007/s10203-019-00250-1
Abstract: This paper reconsiders the conditions determining the optimal response of a decision maker in case of stochastic changes in multiplicative risks. In particular, we focus on an optimal portfolio choice where the return of the… read more here.
Keywords: portfolio choice; changes multiplicative; case; multiplicative risks ... See more keywords