The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
From MaRDI portal
Publication:413330
DOI10.1016/j.jedc.2011.09.009zbMath1238.91127MaRDI QIDQ413330
Claus Munk, Linda Sandris Larsen
Publication date: 4 May 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.09.009
stochastic volatility; stochastic interest rates; growth and value stocks; mean reversion in stock returns; suboptimal investments; wealth-equivalent utility loss
91G10: Portfolio theory
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