Autocorrelated Returns and Optimal Intertemporal Portfolio Choice
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Publication:4392517
DOI10.1287/mnsc.43.11.1537zbMath0902.90003OpenAlexW1978185163MaRDI QIDQ4392517
Ronald J. Balvers, Douglas W. Mitchell
Publication date: 8 June 1998
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.43.11.1537
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Related Items (6)
Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated ⋮ Bayesian filtering for multi-period mean-variance portfolio selection ⋮ Optimal portfolio choice and stochastic volatility ⋮ A stochastic programming approach for multi-period portfolio optimization ⋮ Optimal investment with noise trading risk ⋮ Efficient gradualism in intertemporal portfolios.
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