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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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2005
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| 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 |