Publikationen pro Jahr
Publikationen pro Jahr
Projektdetails
Beschreibung
This research investigates some implications of empirically observed stochastic properties of stock returns for asset allocation problems. For that purpose, decisions of representative investors for different utility functions are compared. Actual returns are assumed to have time-dependent first and second order moments. The effects of this time-dependence are investigated by way of simulation experiments.
simulation, time series analysis
simulation, time series analysis
| Status | Abgeschlossen |
|---|---|
| Tatsächlicher Beginn/ -es Ende | 1/01/92 → 31/03/99 |
Österreichische Systematik der Wissenschaftszweige (ÖFOS)
- 101015 Operations Research
- 101026 Zeitreihenanalyse
- 502
Publikationen
- 1 Originalbeitrag in Fachzeitschrift
-
Implications of dependence in stock returns for asset allocation
Geyer, A., 2000, in: Applied Financial Economics.Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung