Abraham Lioui

zbMath Openlioui.abrahamMaRDI QIDQ198579

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Factor investing for the long run Journal of Economic Dynamics and Control	2021-04-07	Paper
Long horizon predictability: an asset allocation perspective European Journal of Operational Research	2019-06-27	Paper
Macroeconomic environment, money demand and portfolio choice European Journal of Operational Research	2019-01-09	Paper
Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences Journal of Economic Dynamics and Control	2018-11-01	Paper
Understanding dynamic mean variance asset allocation European Journal of Operational Research	2016-10-07	Paper
Optimal benchmarking for active portfolio managers European Journal of Operational Research	2014-07-27	Paper
A paradox of the mean variance setting for the long term investor International Series in Operations Research & Management Science	2014-06-20	Paper
Monetary non-neutrality in the sidrauski model under uncertainty Economics Letters	2013-01-29	Paper
Habit persistence in consumption and the demand for money Economics Letters	2013-01-28	Paper
The minimum variance hedge ratio under stochastic interest rates Management Science	2012-02-12	Paper
The asset allocation puzzle is still a puzzle Journal of Economic Dynamics and Control	2009-05-18	Paper
Dynamic asset pricing with non-redundant forwards Journal of Economic Dynamics and Control	2008-10-24	Paper
Stochastic dividend yields and derivatives pricing in complete markets Review of Derivatives Research	2007-02-14	Paper
On optimal portfolio choice under stochastic interest rates Journal of Economic Dynamics and Control	2001-08-20	Paper
Optimal spreading when spreading is optimal Journal of Economic Dynamics and Control	1999-01-12	Paper
Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth Journal of Economic Dynamics and Control	1997-02-27	Paper

Research outcomes over time

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