Portfolios and risk premia for the long run
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Publication:2428051
DOI10.1214/11-AAP767zbMath1247.91172arXiv1203.1399OpenAlexW3098096670MaRDI QIDQ2428051
Paolo Guasoni, Scott Robertson
Publication date: 20 April 2012
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1203.1399
Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)
Related Items (24)
Long-Term Optimal Investment in Matrix Valued Factor Models ⋮ THE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTS ⋮ Long Time Asymptotics for Optimal Investment ⋮ LONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADS ⋮ STATIC FUND SEPARATION OF LONG-TERM INVESTMENTS ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Young, timid, and risk takers ⋮ Rebalancing with Linear and Quadratic Costs ⋮ Optimal investment, derivative demand, and arbitrage under price impact ⋮ ROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTS ⋮ STABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCES ⋮ Transaction costs, trading volume, and the liquidity premium ⋮ Abstract, classic, and explicit turnpikes ⋮ INVESTING WITH LIQUID AND ILLIQUID ASSETS ⋮ Consumption-investment optimization with Epstein-Zin utility in incomplete markets ⋮ Ergodic robust maximization of asymptotic growth ⋮ The risk premium that never was: a fair value explanation of the volatility spread ⋮ Sensitivity analysis of the utility maximisation problem with respect to model perturbations ⋮ Horizon dependence of utility optimizers in incomplete models ⋮ Hedge and mutual funds' fees and the separation of private investments ⋮ Should Commodity Investors Follow Commodities' Prices? ⋮ Consumption in incomplete markets ⋮ Portfolio Choice with Transaction Costs: A User’s Guide
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