Stocks for the log-run and constant relative risk aversion preferences

DOI10.1016/j.ejor.2019.03.033zbMath1431.91363OpenAlexW2926801913WikidataQ128145559 ScholiaQ128145559MaRDI QIDQ1740568

Moshe Levy

Publication date: 30 April 2019

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2019.03.033

zbMATH Keywords

financeCAPMalmost stochastic dominanceCRRA preferencesstocks for the long-run

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Portfolio diversification based on stochastic dominance under incomplete probability information ⋮ Mean-variance hedging in the presence of estimation risk

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