Does volatility pay?
- Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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1999
22 p.
English
An investor with quadratic utility invests amounts changing with his perceptions of risk and expected return in a market with changing risk. Optimal investment policies are derived under several hypotheses for expected returns. These policies are combined in a Bayesian framework to yield a policy that performs better than the ‘buy and hold’ policy in our tests, except in the case of the FTSE index.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 9086
- ARK ark:/12658/srd1317980
- Persistent URL
- https://n2t.net/ark:/12658/srd1317980
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