Optimal asset allocation with heterogeneous discounting and stochastic income under CEV model
Danping Li, Yongzeng Lai and Lin Li
| Year of publication: |
2020
|
|---|---|
| Authors: | Li, Danping ; Lai, Yongzeng ; Li, Lin |
| Published in: |
Journal of the Operational Research Society. - London : Taylor and Francis, ISSN 1476-9360, ZDB-ID 2007775-0. - Vol. 71.2020, 12, p. 2013-2026
|
| Subject: | Asset allocation | constant elasticity of variance (CEV) model | heterogeneous discounting | stochastic income | time-consistency | Portfolio-Management | Portfolio selection | Theorie | Theory | Diskontierung | Discounting | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/01605682.2019.1650618 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012314419