Static and dynamic portfolio allocation with nonstandard utility functions
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- Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
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Keywords
Portugal; Agent-based modeling; Optimization models;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2017-04-23 (Utility Models and Prospect Theory)
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