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Published in 2020 at "Journal of Economic Dynamics and Control"
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…
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Keywords:
relative wealth;
asset allocation;
allocation relative;
wealth concerns ... See more keywords