Asset allocation with time variation in expected returns

DOI10.1016/S0167-6687(97)00021-8MaRDI QIDQ1381452zbMATH OpenOpenAlexFDO

Authors Phelim Boyle, Hailiang Yang

Publication date 17 March 1998

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-6687(97)00021-8

zbMATH Keywords

viscosity solutionrisk averse investorconsumption investment problemseveral asset classes

Mathematics Subject Classification ID

Application models in control theory (93C95) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 50702 (Why is no real title available?)
• scientific article; zbMATH DE number 1069629 (Why is no real title available?)
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A theory of the term structure of interest rates
• An Intertemporal General Equilibrium Model of Asset Prices
• Asymptotic behavior of some nonlinear heat equations
• Asymptotic expansions for Markov processes with Lévy generators
• Black's consol rate conjecture
• European Option Pricing with Transaction Costs
• Optimal investment and consumption with transaction costs
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio Selection with Transaction Costs
• Strategic asset allocation
• User’s guide to viscosity solutions of second order partial differential equations
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations

Cited in

(7)

• Lumpy investment and expected stock returns
• Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
• Investing for Retirement
• Optimal investment-reinsurance with dynamic risk constraint and regime switching
• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
• Optimal portfolios with regime switching and value-at-risk constraint
• Consistent fitting of one-factor models to interest rate data.

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