Dynamic consumption and asset allocation with derivative securities

DOI10.1080/14697680601077959MaRDI QIDQ3593597zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

dynamic asset allocationintertemporal consumptionstochastic opportunities

Mathematics Subject Classification ID

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

Recommendations

• Asset allocation and derivatives
• Optimal investment with derivative securities
• Optimal investment in derivative securities
• Optimal investment and consumption decision of derivatives
• An optimal consumption model with stochastic volatility

Cites work

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

Cited in

(9)

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

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