The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
From MaRDI portal
(Redirected from Publication:413330)
Recommendations
Cites work
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- An equilibrium characterization of the term structure
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Empirical dynamic asset pricing: model specification and econometric assessment
- Evaluating Portfolio Policies: A Duality Approach
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- How to invest optimally in corporate bonds: a reduced-form approach
- ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
- Optimal consumption/investment policies with undiversifiable income risk and liquidity constraints
- Optimal portfolio choice with wash sale constraints
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal value and growth tilts in long-horizon portfolios
- Optimum consumption and portfolio rules in a continuous-time model
- Risk aversion and allocation to long-term bonds.
- Stochastic Interest Rates and the Bond-Stock Mix
- Strategic asset allocation
- The asset allocation puzzle is still a puzzle
- The asset location puzzle: Taxes matter
- The instantaneous capital market line
- The relaxed investor and parameter uncertainty
Cited in
(24)- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- An expansion in the model space in the context of utility maximization
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Optimal value and growth tilts in long-horizon portfolios
- Robust portfolio optimization with multi-factor stochastic volatility
- Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
- Demand for non-life insurance under habit formation
- The asset allocation puzzle is still a puzzle
- When do jumps matter for portfolio optimization?
- Reaching nirvana with a defaultable asset?
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- Robust portfolio choice with stochastic interest rates
- Robustness of stable volatility strategies
- Optimal investment under multi-factor stochastic volatility
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Robust consumption and portfolio choice with derivatives trading
- International portfolio choice under multi-factor stochastic volatility
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- How suboptimal are linear sharing rules?
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Optimal asset allocation for commodity sovereign wealth funds
This page was built for publication: The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q413330)
