𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stochastic dominance and optimal portfolio

✍ Scribed by Kaı̈s Dachraoui; Georges Dionne


Book ID
117331989
Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
56 KB
Volume
71
Category
Article
ISSN
0165-1765

No coin nor oath required. For personal study only.


📜 SIMILAR VOLUMES


Optimal portfolio choice and stochastic
✍ 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