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Optimal portfolio choice for a behavioural investor in continuous-time markets

✍ Scribed by Rásonyi, Miklós; Rodrigues, Andrea M.


Book ID
118040068
Publisher
Springer
Year
2012
Tongue
English
Weight
345 KB
Volume
9
Category
Article
ISSN
1614-2446

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Time-varying correlations and optimal al
✍ Heung-Joo Cha; Thadavillil Jithendranathan 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 199 KB

## Abstract Low correlations between asset returns increase the portfolio diversification benefits and for US investors emerging market equities are one such class of assets. Several studies indicate that the correlations between asset returns are time varying and using unconditional estimates of c