Articles with "multiplicative risks" as a keyword



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Changes in multiplicative risks and optimal portfolio choice: new interpretations and results

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Published in 2019 at "Decisions in Economics and Finance"

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