Correlation uncertainty, limited participation, and flight to quality
This study extends the multi-asset model of Huang et al. (2017), who examine only two types of investors, by adding a new investor type with partial information on the correlation coefficient and re-explores the limited participation phenomenon under correlation ambiguity. We investigate whether ass...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2023-03-01
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| Series: | Journal of Management Science and Engineering |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232022000348 |