On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (Q319811)
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scientific article; zbMATH DE number 6633684
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| English | On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability |
scientific article; zbMATH DE number 6633684 |
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (English)
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6 October 2016
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multi-period asset allocation
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expected utility optimization
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exponential utility function
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return predictability
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0.9519863724708556
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0.804062008857727
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0.7619478702545166
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0.7538550496101379
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0.7396120429039001
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