Investing When Volatility Fluctuates

We examine how the evidence of the time-varying volatility in stock returns affects optimal dynamic portfolio choice of investors with long horizons. As return volatility shows a relatively small correlation with realized return, its time-variation is expected to cause little, if any, hedging demand...

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Bibliographic Details
Main Author: Wang, Leping
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2005
Subjects:
Online Access:https://ink.library.smu.edu.sg/lkcsb_research_smu/19
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1018&context=lkcsb_research_smu
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Institution: Singapore Management University
Language: English