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Portfolio optimization in stochastic markets

✍ Scribed by U. Çakmak; S. Özekici

Publisher
Springer
Year
2005
Tongue
English
Weight
189 KB
Volume
63
Category
Article
ISSN
0340-9422

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📜 SIMILAR VOLUMES

Optimal portfolio choice and stochastic
Optimal portfolio choice and stochastic volatility
✍ Anne Gron; Bjørn N. Jørgensen; Nicholas G. Polson 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 647 KB

## Abstract In this paper we examine the effect of stochastic volatility on optimal portfolio choice in both partial and general equilibrium settings. In a partial equilibrium setting we derive an analog of the classic Samuelson–Merton optimal portfolio result and define volatility‐adjusted risk av