Multi-period power utility optimization under stock return predictability
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Cites work
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
- A tail-revisited Markowitz mean-variance approach and a portfolio network centrality
- A test on the location of the tangency portfolio on the set of feasible portfolios
- Adaptive estimation of autoregressive models with time-varying variances
- Analysis of Financial Time Series
- Asset allocation strategies based on penalized quantile regression
- Bayesian portfolio selection with multi-variate random variance models
- Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
- Consumption and portfolio rules for time-inconsistent investors
- Determination and estimation of risk aversion coefficients
- Dynamic portfolio management with views at multiple horizons
- Estimation and inference of the vector autoregressive process under heteroscedasticity
- HARA frontiers of optimal portfolios in stochastic markets
- scientific article; zbMATH DE number 54139 (Why is no real title available?)
- Mean-variance efficiency of optimal power and logarithmic utility portfolios
- Multi-period portfolio selection with investor views based on scenario tree
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- Optimal benchmarking for active portfolio managers
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment under operational flexibility, risk aversion, and uncertainty
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Portfolio selection in stochastic markets with HARA utility functions
- Quantile-based optimal portfolio selection
- Risk Aversion in the Small and in the Large
- Taylor series approximations to expected utility and optimal portfolio choice
- The Pearson system of utility functions
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