Risk Aversion, Noise, and Optimal Investments

Hjördis Hardardottir; Frederik Lundtofte

doi:10.3905/jpm.2017.43.3.051

Article

Risk Aversion, Noise, and Optimal Investments

Hjördis Hardardottir and Frederik Lundtofte

The Journal of Portfolio Management Spring 2017, 43 (3) 51-59; DOI: https://doi.org/10.3905/jpm.2017.43.3.051

Hjördis Hardardottir

is a PhD student in the Department of Economics at Lund University in Lund, Sweden.

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Frederik Lundtofte

is a director at the Knut Wicksell Centre for Financial Studies and an associate professor in the Department of Economics at Lund University in Lund, Sweden.

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For correspondence: frederik.lundtofte@nek.lu.se

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The Journal of Portfolio Management

Vol. 43, Issue 3

Spring 2017

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Risk Aversion, Noise, and Optimal Investments