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...
| Główni autorzy: | , |
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| Format: | Artykuł |
| Język: | English |
| Wydane: |
Public Library of Science (PLoS)
2021-01-01
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| Seria: | PLoS ONE |
| Dostęp online: | https://doi.org/10.1371/journal.pone.0248904 |