Dynamic asset allocation with relative wealth concerns in incomplete markets
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DOI: 10.1016/j.jedc.2020.103857
Abstract: Abstract In dynamic portfolio choice problems, stochastic state variables such as stochastic volatility lead to adjustments of the optimal stock demand referred to as hedge terms or Merton-Breeden terms. By deriving an explicit solution in… read more here.
Keywords: relative wealth; asset allocation; allocation relative; wealth concerns ... See more keywords