Dynamic consumption and asset allocation with derivative securities

DOI10.1080/14697680601077959zbMath1278.91142OpenAlexW1973499642MaRDI QIDQ3593597

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

zbMATH Keywords

dynamic asset allocationintertemporal consumptionstochastic opportunities

Mathematics Subject Classification ID

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

Related Items (5)

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

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Strategic asset allocation in a continuous-time VAR model
• ARCH modeling in finance. A review of the theory and empirical evidence
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• ARCH models as diffusion approximations
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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Differential Utility
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Stochastic volatility, smile & asymptotics
• An Intertemporal Capital Asset Pricing Model
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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