Time-Varying Risk Aversion and Dynamic Portfolio Allocation

DOI10.1287/opre.2020.2095zbMath1484.91433OpenAlexW3147817489MaRDI QIDQ5030998

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Publication date: 18 February 2022

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2020.2095

zbMATH Keywords

financial engineeringregime-switching modeldynamic portfolio allocationregime-dependent risk aversion

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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