Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process

DOI10.1007/S11424-012-9367-2MaRDI QIDQ2391929zbMATH OpenOpenAlexFDO

Authors Chaolin He, Weidong Meng

Publication date 5 August 2013

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-012-9367-2

zbMATH Keywords

time-varyingdynamic portfolio choicerisky assetasset return processdouble-jump diffusion frameworkKnight uncertaintyportfolios equivalent utilityvolatility shift

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3662819 (Why is no real title available?)
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Dynamic portfolio choice under uncertainty-aversion
• Maxmin expected utility with non-unique prior
• Optimum consumption and portfolio rules in a continuous-time model
• The Role of Learning in Dynamic Portfolio Decisions *
• Transform Analysis and Asset Pricing for Affine Jump-diffusions

Cited in

(4)

• Dynamic portfolio choice under uncertainty-aversion
• Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
• Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
• Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach

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