Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
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Publication:1994239
DOI10.1016/J.JEDC.2013.01.007zbMATH Open1402.91716OpenAlexW3123480306MaRDI QIDQ1994239FDOQ1994239
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
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predictabilitydynamic asset allocationintertemporal hedgingmean-variance preferencesvalue and growth investment
Cites Work
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- Golden Eggs and Hyperbolic Discounting
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Dynamic asset allocation in a mean-variance framework
- Optimal value and growth tilts in long-horizon portfolios
- Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
Cited In (15)
- Robo-advising: optimal investment with mismeasured and unstable risk preferences
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- On time consistency for mean-variance portfolio selection
- Continuous time mean variance asset allocation: a time-consistent strategy
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- 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
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
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