On dynamic investment strategies
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Publication:1583162
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Cites work
- A stochastic calculus model of continuous trading: Complete markets
- Martingales and arbitrage in multiperiod securities markets
- Mutual fund separation in financial theory - the separating distributions
- On the Random Walk and Brownian Motion
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Optimal stopping in the stock market
- Optimum consumption and portfolio rules in a continuous-time model
- Option pricing: A simplified approach
- The Accumulation of Risky Capital: A Sequential Utility Analysis
- The pricing of options and corporate liabilities
Cited in
(22)- Capital accumulation in a stochastic decentralized economy
- An evaluation of some popular investment strategies under stochastic interest rates
- Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations
- Reactive investment strategies
- The design of equity-indexed annuities
- Investment strategies for flexible resources
- An explicit option-based strategy that outperforms dollar cost averaging
- Optimality of payoffs in Lévy models
- The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies
- Improving the Design of Financial Products in a Multidimensional Black-Scholes Market
- A note on the suboptimality of path-dependent pay-offs in Lévy markets
- Tail-risk protection trading strategies
- Dynamic preferences for popular investment strategies in pension funds
- Optimal payoffs under state-dependent preferences
- Parameter dependent optimal thresholds, indifference levels and inverse optimal stopping problems
- On a dynamic adaptation of the Distribution Builder approach to investment decisions
- UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
- Dynamic investment strategies with demand-side and cost-side risks
- Cost-efficient payoffs under model ambiguity
- Long-term real dynamic investment planning
- Optimal approximations for risk measures of sums of lognormals based on conditional expectations
- Capital growth with security
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