Mean-variance portfolio with wealth and volatility dependent risk aversion

IF 1.5 4区经济学 Q3 BUSINESS, FINANCE

Quantitative Finance Pub Date : 2024-05-29 DOI:10.1080/14697688.2024.2353874

Shican Liu

引用次数: 0

Abstract

Risk aversion rate plays a significant role in mean-variance portfolio selection. Most existing literature assumes it to be constant or wealth dependent, which is unrealistic. In this study, I cont...

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均值方差投资组合与财富和波动相关的风险规避

风险规避率在均值方差投资组合选择中起着重要作用。现有文献大多假定它是常数或与财富相关，这是不现实的。在本研究中，笔者将继续...

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来源期刊

Quantitative Finance 社会科学-数学跨学科应用

CiteScore

3.20

自引率

7.70%

发文量

102

审稿时长

4-8 weeks

期刊介绍： The frontiers of finance are shifting rapidly, driven in part by the increasing use of quantitative methods in the field. Quantitative Finance welcomes original research articles that reflect the dynamism of this area. The journal provides an interdisciplinary forum for presenting both theoretical and empirical approaches and offers rapid publication of original new work with high standards of quality. The readership is broad, embracing researchers and practitioners across a range of specialisms and within a variety of organizations. All articles should aim to be of interest to this broad readership.