Prospect theory, constant relative risk aversion, and the investment horizon

Prospect Theory (PT) and Constant-Relative-Risk-Aversion (CRRA) preferences have clear-cut and very different implications for the optimal asset allocation between a riskless asset and a risky stock as a function of the investment horizon. While CRRA implies that the optimal allocation is independen...

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Detalles Bibliográficos
Autores principales: Levy, Haim, Levy, Moshe
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2021
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8016345/
https://www.ncbi.nlm.nih.gov/pubmed/33793619
http://dx.doi.org/10.1371/journal.pone.0248904

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8016345/
https://www.ncbi.nlm.nih.gov/pubmed/33793619
http://dx.doi.org/10.1371/journal.pone.0248904

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