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Portfolio choices: comparative statics under both expected return and volatility uncertainty.

Authors :
Lin, Qian
Tian, Dejian
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