On dynamic investment strategies
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Publication:1583162
DOI10.1016/S0165-1889(99)00095-0zbMath0960.91034OpenAlexW1994841189MaRDI QIDQ1583162
Publication date: 26 October 2000
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1889(99)00095-0
Related Items (15)
AN EXPLICIT OPTION-BASED STRATEGY THAT OUTPERFORMS DOLLAR COST AVERAGING ⋮ Tail-risk protection trading strategies ⋮ OPTIMALITY OF PAYOFFS IN LÉVY MODELS ⋮ Capital accumulation in a stochastic decentralized economy ⋮ Improving the Design of Financial Products in a Multidimensional Black-Scholes Market ⋮ Optimal approximations for risk measures of sums of lognormals based on conditional expectations ⋮ Capital growth with security ⋮ Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES ⋮ Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations ⋮ Reactive investment strategies ⋮ Optimal payoffs under state-dependent preferences ⋮ The design of equity-indexed annuities ⋮ A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets ⋮ On a dynamic adaptation of The Distribution Builder approach to investment decisions
Cites Work
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Martingales and arbitrage in multiperiod securities markets
- Mutual fund separation in financial theory - the separating distributions
- A stochastic calculus model of continuous trading: Complete markets
- Optimal stopping in the stock market
- On the Random Walk and Brownian Motion
- The Accumulation of Risky Capital: A Sequential Utility Analysis
- Option pricing: A simplified approach
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
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