Dynamic Portfolio Choice under Uncertainty about Asset Return Model |
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| Authors: | HE Chao-lin MENG Wei-dong |
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| Institution: | 1. Department of Management Engineering,Anhui University of Technology and Science,Wuhu 241000,China
2. College of Econoraics and Business Administration,Chongqing University,Chongqing 400044,China |
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| Abstract: | The effect of uncertainty about stochastic diffusion model on dynamic portfolio choice of an investor who maximizes utility of terminal portfolio wealth was studied.It applied stochastic control method to obtain the closed-form solution of optimal dynamic portfolio,and used the Bayesian rule to estimate the model parameters to do an empirical study on two different samples of Shanghai Exchange Composite Index.Results show,model uncertainty results in positive or negative hedging demand of portfolio,which de... |
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| Keywords: | dynamic portfolio model uncertainty estimation risk Bayesian analysis |
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