A dynamic mean-variance analysis for log returns
Min Dai, Hanqing Jin, Steven Kou, Yuhong Xu
| Year of publication: |
2021
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|---|---|
| Authors: | Dai, Min ; Jin, Hanqing ; Kou, Steven ; Xu, Yuhong |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 2, p. 1093-1108
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| Subject: | portfolio choices | stochastic volatility | time-varying mean returns | risk aversion recovery | Portfolio-Management | Portfolio selection | Theorie | Theory | Volatilität | Volatility | Kapitaleinkommen | Capital income | Risikoaversion | Risk aversion | CAPM | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2019.3493 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10012505370