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




Related Items (24)

Long-Term Optimal Investment in Matrix Valued Factor ModelsTHE GENERAL STRUCTURE OF OPTIMAL INVESTMENT AND CONSUMPTION WITH SMALL TRANSACTION COSTSLong Time Asymptotics for Optimal InvestmentLONG HORIZONS, HIGH RISK AVERSION, AND ENDOGENOUS SPREADSSTATIC FUND SEPARATION OF LONG-TERM INVESTMENTSPortfolio optimisation under non-linear drawdown constraints in a semimartingale financial modelAsymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraireYoung, timid, and risk takersRebalancing with Linear and Quadratic CostsOptimal investment, derivative demand, and arbitrage under price impactROBUST PORTFOLIOS AND WEAK INCENTIVES IN LONG-RUN INVESTMENTSSTABILITY OF THE EXPONENTIAL UTILITY MAXIMIZATION PROBLEM WITH RESPECT TO PREFERENCESTransaction costs, trading volume, and the liquidity premiumAbstract, classic, and explicit turnpikesINVESTING WITH LIQUID AND ILLIQUID ASSETSConsumption-investment optimization with Epstein-Zin utility in incomplete marketsErgodic robust maximization of asymptotic growthThe risk premium that never was: a fair value explanation of the volatility spreadSensitivity analysis of the utility maximisation problem with respect to model perturbationsHorizon dependence of utility optimizers in incomplete modelsHedge and mutual funds' fees and the separation of private investmentsShould Commodity Investors Follow Commodities' Prices?Consumption in incomplete marketsPortfolio Choice with Transaction Costs: A User’s Guide



Cites Work


This page was built for publication: Portfolios and risk premia for the long run