haku: @author Saltoglu, B. / yhteensä: 2
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Tekijä: | Saltoglu, B. |
Otsikko: | Estimating a continuous time portfolio selection model: an application with UK data |
Lehti: | Empirical Economics
2000 : VOL 25:1, p. 93-110 |
Asiasana: | EMPIRICAL RESEARCH ECONOMICS PORTFOLIO SELECTION |
Kieli: | eng |
Tiivistelmä: | An empirical assessment of a continuous time portfolio selection model is studied for the UK economy between 1970 and 1996. The estimates obtained from this study are both statistically significant and consistent with the model's predictions. The estimate of risk aversion parameter refers to low risk aversion which is consistent with the optimal risky asset holding parameter. |
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