Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences

DOI10.1016/J.JEDC.2013.01.007MaRDI QIDQ1994239zbMATH OpenOpenAlexFDO

Authors Abraham Lioui

Publication date 1 November 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2013.01.007

zbMATH Keywords

predictabilitydynamic asset allocationintertemporal hedgingmean-variance preferencesvalue and growth investment

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
• Dynamic asset allocation in a mean-variance framework
• Golden Eggs and Hyperbolic Discounting
• Implications of the Sharpe ratio as a performance measure in multi-period settings
• Optimal consumption and portfolio policies when asset prices follow a diffusion process
• Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
• Optimal value and growth tilts in long-horizon portfolios
• Optimum consumption and portfolio rules in a continuous-time model
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

Cited in

(15)

• Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
• Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
• Robo-advising: optimal investment with mismeasured and unstable risk preferences
• Continuous time mean variance asset allocation: a time-consistent strategy
• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
• On time consistency for mean-variance portfolio selection
• Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
• A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
• Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
• Portfolio choice with skewness preference and wealth-dependent risk aversion
• On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
• Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• Time-consistent mean-variance portfolio optimization: a numerical impulse control approach

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