Influence of risk tolerance on long-term investments: a Malliavin calculus approach
نویسندگان
چکیده
This study investigates the influence of risk tolerance on expected utility in long run. We estimate extent to which optimal portfolios is affected by small changes tolerance. For this purpose, we adopt Malliavin calculus method and Hansen–Scheinkman decomposition, through expressed terms eigenvalues eigenfunctions an operator. conclude that aversion determined these
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ژورنال
عنوان ژورنال: Stochastics
سال: 2021
ISSN: ['2472-7067', '0090-9491']
DOI: https://doi.org/10.1080/17442508.2021.2011891