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Portfolio choices: comparative statics under both expected return and volatility uncertainty.
- Source :
-
Quantitative Finance . Jun2021, Vol. 21 Issue 6, p1027-1035. 9p. - Publication Year :
- 2021
-
Abstract
- This paper studies the comparative statics of an optimal portfolio choice problem for an investor with both expected return and volatility ambiguity about the financial market. The optimal holding of the risky asset depends on risk preference, expected return and volatility ambiguity, yielding a general comparative statistics analysis for all investors with linearly growing absolute risk tolerance. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 14697688
- Volume :
- 21
- Issue :
- 6
- Database :
- Academic Search Index
- Journal :
- Quantitative Finance
- Publication Type :
- Academic Journal
- Accession number :
- 150319562
- Full Text :
- https://doi.org/10.1080/14697688.2020.1849781