Tekijä: | McCardle, K. F. Winkler, R. L. |
Otsikko: | All roads lead to risk preference : A turnpike theorem for conditionally independent returns. |
Lehti: | Journal of Financial and Quantitative Analysis
1989 : MAR, VOL. 24:1, p. 13-28 |
Asiasana: | PORTFOLIO INVESTMENT RISK |
Kieli: | eng |
Tiivistelmä: | A presentation of several new turnpike theorems, related to the investment in a risky asset, whose return distribution is unknown, with the assumption of the conditional independence of returns across periods. Constant relative risk aversion. Combinations of isoelastic utilities. A Table, reviewing the proportion of wealth invested across periods, illustrates the analysis. |
SCIMA