Portfolio selection in stochastic markets with HARA utility functions
From MaRDI portal
Publication:1037679
DOI10.1016/j.ejor.2009.03.017zbMath1180.91252OpenAlexW2045547712MaRDI QIDQ1037679
Süleyman Özekici, Ethem Çanakoğlu
Publication date: 16 November 2009
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.03.017
Related Items (37)
Two-stage financial risk tolerance assessment using data envelopment analysis ⋮ Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets ⋮ Multi-period defined contribution pension funds investment management with regime-switching and mortality risk ⋮ BAYESIAN ANALYSIS OF DOUBLY STOCHASTIC MARKOV PROCESSES IN RELIABILITY ⋮ New results on high-order risk changes ⋮ A discontinuous mispricing model under asymmetric information ⋮ Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Portfolio optimization with disutility-based risk measure ⋮ Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ HARA utility maximization in a Markov-switching bond–stock market ⋮ Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions ⋮ HARA frontiers of optimal portfolios in stochastic markets ⋮ A mispricing model of stocks under asymmetric information ⋮ Asset allocation with correlation: a composite trade-off ⋮ Portfolio rebalancing model using multiple criteria ⋮ Multi-period power utility optimization under stock return predictability ⋮ High-Dimensional Portfolio Selection with Cardinality Constraints ⋮ Asset-liability management with state-dependent utility in the regime-switching market ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ A class of non-zero-sum stochastic differential investment and reinsurance games ⋮ Portfolio selection with liability and affine interest rate in the HARA utility framework ⋮ Optimal investment-consumption strategy under inflation in a Markovian regime-switching market ⋮ Portfolio selection with hyperexponential utility functions ⋮ On the construction of positional control in a multistep portfolio optimization problem with probabilistic criterion ⋮ On the existence of optimal strategies in the control problem for a stochastic discrete time system with respect to the probability criterion ⋮ Massively parallel processing of recursive multi-period portfolio models ⋮ Dynamic portfolio choice with return predictability and transaction costs ⋮ New results on the relationship among risk aversion, prudence and temperance ⋮ Reliability of semi-Markov missions ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Risk-sensitive dividend problems ⋮ International portfolio choice and political instability risk: a multi-objective approach ⋮ Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching ⋮ Portfolio selection with imperfect information: A hidden Markov model ⋮ Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises ⋮ A dynamic programming approach to constrained portfolios
Cites Work
- Unnamed Item
- Unnamed Item
- Discrete time market with serial correlations and optimal myopic strategies
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Markov-modulated queueing systems
- Portfolio selection in stochastic markets with exponential utility functions
- Risk-sensitive dynamic asset management
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Risk sensitive portfolio optimization
- Portfolio optimization in stochastic markets
- Stock Trading: An Optimal Selling Rule
- Reliability of Complex Devices in Random Environments
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Risk sensitive control of discrete time partially observed Markov Processes with Infinite Horizon
- A time‐continuous markov chain interest model with applications to insurance
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Inventory Control in a Fluctuating Demand Environment
- Risk Aversion in the Small and in the Large
- A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
This page was built for publication: Portfolio selection in stochastic markets with HARA utility functions
