Reactive investment strategies

DOI10.1016/J.INSMATHECO.2011.02.004zbMATH Open1218.91166OpenAlexW2002351439MaRDI QIDQ2276266FDOQ2276266

Authors: Andrew P. Leung 

Publication date: 1 August 2011

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.02.004

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zbMATH Keywords

calculus of variationsdynamic optimizationdynamic asset allocationcontrarian asset allocationlifecycle investmenttarget date funds

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50) Dynamic programming in optimal control and differential games (49L20)

Cites Work

• Investing for Retirement
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
• Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
• Optimal portfolio selection for general provisioning and terminal wealth problems
• On dynamic investment strategies
• Optimal asset allocation for a general portfolio of life insurance policies
• OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION

Cited In (1)

• A buy-hold-sell pension saving strategy

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