Portfolios and risk premia for the long run
From MaRDI portal
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Relative arbitrage in volatility-stabilized markets
- On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
- Asymptotic arbitrage and large deviations
- Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio turnpike theorems in a continuous-time finance model
- Martingales and stochastic integrals in the theory of continuous trading
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Mean-variance hedging for general claims
- Large time behavior of the heat kernel and the behavior of the Green function near criticality for nonsymmetric elliptic operators
- A continuous-time portfolio turnpike theorem
- Criteria for recurrence and existence of invariant measures for multidimensional diffusions
- Risk-sensitive dynamic asset management
- Turnpike behavior of long-term investments
- Matrix Riccati equations in control and systems theory
- A large deviations approach to optimal long term investment
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- On the minimal entropy martingale measure.
- Risk-sensitive control and an optimal investment model. II.
- Risk-sensitive dynamic portfolio optimization with partial information on infinite time horizon.
- Approximation pricing and the variance-optimal martingale measure
- Risk sensitive asset management with transaction costs
- On the structure of general mean-variance hedging strategies
- Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
- An entropy approach to the Stein and Stein model with correlation
- On the structure of solutions of ergodic type Bellman equation related to risk-sensitive control
- Linear and quasilinear elliptic equations
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Two singular diffusion problems
- Risk-Sensitive Control and an Optimal Investment Model
- A Theory of the Term Structure of Interest Rates
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
- Long-Term Risk: An Operator Approach
- Asymptotic evaluation of certain markov process expectations for large time. IV
- Portfolio Turnpike Theorems, Risk Aversion, and Regularly Varying Utility Functions
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Asymptotic evaluation of certain markov process expectations for large time, II
- Asymptotic evaluation of certain Markov process expectations for large time—III
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- STOCHASTIC VOLATILITY MODELS, CORRELATION, AND THE q‐OPTIMAL MEASURE
- Risk-sensitive portfolio optimization on infinite time horizon
- Risk-Sensitive Control on an Infinite Time Horizon
- Bellman Equations of Risk-Sensitive Control
- ANALYTICAL COMPARISONS OF OPTION PRICES IN STOCHASTIC VOLATILITY MODELS
- The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
- A solution approach to valuation with unhedgeable risks
This page was built for publication: Portfolios and risk premia for the long run