Guidolin, Massimo (contributor); … - 2005
WORKING PAPER SERIES
Optimal Portfolio Choice under Regime Switching,
Skew and Kurtosis … Portfolio Choice under Regime Switching, Skew
and Kurtosis Preferences
Massimo Guidolin
University of Virginia
Allan Timmermann …-period portfolio choice be derived in closed form.
Unfortunately, the assumption of constant investment opportunities is at odds with …