Time-varying risk aversion and dynamic portfolio allocation
Year of publication: |
2022
|
---|---|
Authors: | Li, Haitao ; Wu, Chongfeng ; Zhou, Chunyang |
Published in: |
Operations research. - Linthicum, Md. : INFORMS, ISSN 1526-5463, ZDB-ID 2019440-7. - Vol. 70.2022, 1, p. 23-37
|
Subject: | dynamic portfolio allocation | Financial Engineering | regime-dependent risk aversion | regime-switching model | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion |
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