Does volatility pay?
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Barone-Adesi, Giovanni
Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
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.
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Language
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Classification
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Economics
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License
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License undefined
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Identifiers
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RERO DOC
9086
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ARK
ark:/12658/srd1317980
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Persistent URL
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https://n2t.net/ark:/12658/srd1317980
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