STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS
From MaRDI portal
Publication:3195494
DOI10.1111/mafi.12017zbMath1331.91164OpenAlexW3123285199MaRDI QIDQ3195494
Paolo Guasoni, Scott Robertson
Publication date: 20 October 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/mafi.12017
Related Items
Long-Term Optimal Investment in Matrix Valued Factor Models, Influence of risk tolerance on long-term investments: a Malliavin calculus approach, Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model, An expansion in the model space in the context of utility maximization, Abstract, classic, and explicit turnpikes, Sensitivity analysis of the utility maximisation problem with respect to model perturbations, Unnamed Item
Cites Work
- Unnamed Item
- Unnamed Item
- Abstract, classic, and explicit turnpikes
- A continuous-time portfolio turnpike theorem
- Mutual fund separation in financial theory - the separating distributions
- Turnpike behavior of long-term investments
- A generalization of the mutual fund theorem
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- In which financial markets do mutual fund theorems hold true?
- Portfolios and risk premia for the long run
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Two singular diffusion problems
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
- Asset Pricing in Multiperiod Securities Markets
- An Intertemporal Capital Asset Pricing Model
- A solution approach to valuation with unhedgeable risks