Kavli Affiliate: Hsiao-Mei (Sherry) Cho| First 5 Authors: [#item_custom_name[1, [#item_custom_name[2, [#item_custom_name[3, [#item_custom_name[4, [#item_custom_name[5| Summary:I study intertemporal hedging demand in a continuous-time multi-asset long-run risk (LRR) model under Epstein–Zin (EZ) recursive preferences. The investor trades a risk-free asset and several risky assets whose drifts and volatilities depend on an Ornstein–Uhlenbeck type LRR factor. Preferences are described […]
Continue.. Intertemporal Hedging Demand under Epstein-Zin Preferences in a Multi-Asset Long-Run Risk Model: Evidence from Projected Pontryagin-Guided Deep Policy Optimization