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Persistent link: https://www.econbiz.de/10012878989
This paper uses non-parametric methods to study the efficiency (Dybvig, 1988 and Post, 2003) and risk-profiles (Varian, 1988) of dynamic portfolio choices. We design an experiment which varies the number of states (complexity), and includes an equivalent static Arrow-Debreu problem. The results...
Persistent link: https://www.econbiz.de/10012838333