Reactive investment strategies

DOI10.1016/J.INSMATHECO.2011.02.004MaRDI QIDQ2276266zbMATH OpenOpenAlexFDO

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

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)

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• scientific article; zbMATH DE number 2065345
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Cites work

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

Cited in

(1)

• A buy-hold-sell pension saving strategy

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