On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Taras Bodnar; Nestor Parolya; Wolfgang Schmid
| Year of publication: |
2015
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| Authors: | Bodnar, Taras ; Parolya, Nestor ; Schmid, Wolfgang |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 246.2015, 2 (16.10.), p. 528-542
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| Subject: | Multi-period asset allocation | Expected utility optimization | Exponential utility function | Return predictability | Portfolio-Management | Portfolio selection | Nutzenfunktion | Utility function | Theorie | Theory | Prognoseverfahren | Forecasting model | Erwartungsnutzen | Expected utility | Nutzen | Utility | Kapitaleinkommen | Capital income | Risikoaversion | Risk aversion | Anlageverhalten | Behavioural finance | Hedging |
| 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/10011338116