The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330)
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scientific article; zbMATH DE number 6030979
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| English | The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts |
scientific article; zbMATH DE number 6030979 |
Statements
The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (English)
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4 May 2012
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suboptimal investments
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wealth-equivalent utility loss
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stochastic interest rates
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stochastic volatility
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growth and value stocks
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mean reversion in stock returns
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0.7634825110435486
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0.7581304311752319
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0.7471905946731567
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0.7379141449928284
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