The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Linda Sandris Larsen; Claus Munk
| Year of publication: |
2012
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|---|---|
| Authors: | Larsen, Linda Sandris ; Munk, Claus |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 2, p. 266-293
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| Subject: | Suboptimal investments | Wealth-equivalent utility loss | Stochastic interest rates | Stochastic volatility | Growth and value stocks | Mean reversion in stock returns | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Börsenkurs | Share price | Zinsrisiko | Interest rate risk | Kapitaleinkommen | Capital income | Zins | Interest rate | Mean Reversion | Mean reversion | Kapitalanlage | Financial investment | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Risikoprämie | Risk premium |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009489609