Dynamic consumption and asset allocation with derivative securities

DOI10.1080/14697680601077959zbMATH Open1278.91142OpenAlexW1973499642MaRDI QIDQ3593597FDOQ3593597

Authors: Yuan-Hung Hsuku 

Publication date: 23 July 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680601077959

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zbMATH Keywords

dynamic asset allocationintertemporal consumptionstochastic opportunities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• The pricing of options and corporate liabilities
• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH modeling in finance. A review of the theory and empirical evidence
• Optimum consumption and portfolio rules in a continuous-time model
• ARCH models as diffusion approximations
• An Intertemporal Capital Asset Pricing Model
• Stochastic Differential Utility
• Stock price distributions with stochastic volatility: an analytic approach
• Randomized stopping times and American option pricing with transaction costs
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Stochastic volatility, smile & asymptotics
• Optimal investment with derivative securities
• Strategic asset allocation in a continuous-time VAR model

Cited In (8)

• Consuming durable goods when stock markets jump: a strategic asset allocation approach
• Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption
• Asset allocation and derivatives
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Robust consumption and portfolio choice with derivatives trading
• Optimal asset allocation for commodity sovereign wealth funds
• Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
• Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer

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