Dynamic Portfolio Choice and Risk Aversion

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Ambiguity in Asset Markets: Theory and Experiment (2010, background): “A related literature, including Epstein & Wang (1994), Uppal & Wang (2003), Cagetti, Hansen, Sargent & Williams (2002), Maenhout (2000), Skiadas (2005), Trojani, Leippold & Vanini (2005), seeks to explain the equity premium puzzle (high average returns on equity and low average riskfree rate) by…”
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (2005, methodology): “Hence, (27) gives an upper bound for the slope λ̄ of the excess return function λ̄f (t, z) = λ̄·z. Finally, we apply Theorem 5.1 to prove optimality in a generalized version of Heston’s model which for instance is discussed by Liu (2001b).”