Time-varying risk aversion and dynamic portfolio allocation
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Publication:5030998
DOI10.1287/OPRE.2020.2095zbMATH Open1484.91433OpenAlexW3147817489MaRDI QIDQ5030998FDOQ5030998
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
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regime-switching modelfinancial engineeringdynamic portfolio allocationregime-dependent risk aversion
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Cited In (9)
- Incremental risk aversion and diversification preference
- Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
- Time-varying portfolio selection based on DCC-MIDAS and parametric scheme
- Title not available (Why is that?)
- The role of health in consumption and portfolio decision-making: insights from state-dependent models
- An out-of-sample evaluation of dynamic portfolio strategies
- Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
- Title not available (Why is that?)
- Time Dependent Relative Risk Aversion
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