Preprint

Does volatility pay?

  • Barone-Adesi, Giovanni Istituto di finanza (IFin), Facoltà di scienze economiche, Università della Svizzera italiana, Svizzera
    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. Show more…
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 9086
Persistent URL
https://susi.usi.ch/usi/documents/317980