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Dynamic optimal portfolio choice under time-varying risk aversion

Published:2021-08 Issue: Volume:166 Page:1-22
ISSN:2110-7017
Container-title:International Economics
language:en
Short-container-title:International Economics

Author:

Díaz Antonio^ORCID,Esparcia Carlos^ORCID

Funder

Universidad de Castilla-La Mancha

Ministerio de Economía, Industria y Competitividad, Gobierno de España

Publisher

Elsevier BV

Subject

General Economics, Econometrics and Finance,General Business, Management and Accounting

Reference99 articles.

1. Foster–Hart optimal portfolios;Anand;J. Bank. Finance,2016

2. Heteroskedasticity and autocorrelation consistent covariance matrix estimation;Andrews;Econometrica,1991

3. An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator;Andrews;Econometrica: J. Econom. Soc.,1992

4. Estimation and properties of a time-varying EGARCH(1,1) in mean model;Anyfantaki;Econom. Rev.,2016

5. Aspects of the Theory of Risk-Bearing;Arrow,1965

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