The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
DOI10.1016/J.JEDC.2011.09.009zbMATH Open1238.91127OpenAlexW3123299624MaRDI QIDQ413330FDOQ413330
Authors: Linda Sandris Larsen, Claus Munk 
Publication date: 4 May 2012
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.09.009
Recommendations
stochastic interest ratesstochastic volatilitygrowth and value stocksmean reversion in stock returnssuboptimal investmentswealth-equivalent utility loss
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Cited In (24)
- Demand for non-life insurance under habit formation
- Robust portfolio choice with stochastic interest rates
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- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- International portfolio choice under multi-factor stochastic volatility
- Robustness of stable volatility strategies
- The asset allocation puzzle is still a puzzle
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- How suboptimal are linear sharing rules?
- An expansion in the model space in the context of utility maximization
- Optimal value and growth tilts in long-horizon portfolios
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
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- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Optimal investment under multi-factor stochastic volatility
- Robust consumption and portfolio choice with derivatives trading
- Robust portfolio optimization with multi-factor stochastic volatility
- Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
- When do jumps matter for portfolio optimization?
- Optimal asset allocation for commodity sovereign wealth funds
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
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