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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2021
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| 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 |