.png){kind=icon}
.png){kind=icon}
Return
Exploiting short-run predictability
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jbankfin.2006.07.008.png)
.png){kind=icon}
Original request for help.png){kind=icon}
Share.png){kind=icon}
Save
Abstract
En 中文
This paper measures the utility gains from exploiting short-run predictability in the volatility of stock returns in a dynamic model in the the presence of transaction costs, short-selling constraints and estimation risk. We find that utility gains are quite significant, both ex ante and out-of-sample. (c) 2006 Elsevier B.V. All rights reserved.
Keywords:
volatility timing
dynamic portfolio choice
transaction costs
Journal
J
IF:
3.8
Papers:
6.4K
Citations:
2.4W
Organization
No organization information available