Time-varying risk aversion and dynamic portfolio allocation

DOI10.1287/OPRE.2020.2095MaRDI QIDQ5030998zbMATH OpenOpenAlexFDO

Authors

Publication date 18 February 2022

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2020.2095

zbMATH Keywords

regime-switching modelfinancial engineeringdynamic portfolio allocationregime-dependent risk aversion

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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Cited in

(9)

• scientific article; zbMATH DE number 6961816 (Why is no real title available?)
• The role of health in consumption and portfolio decision-making: insights from state-dependent models
• An out-of-sample evaluation of dynamic portfolio strategies
• Time-varying portfolio selection based on DCC-MIDAS and parametric scheme
• Incremental risk aversion and diversification preference
• Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
• scientific article; zbMATH DE number 1971066 (Why is no real title available?)
• Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
• Time Dependent Relative Risk Aversion

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