Long-term strategic asset allocation with inflation risk and regime switching
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Cites work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- A stochastic calculus model of continuous trading: Complete markets
- An application of hidden Markov models to asset allocation problems
- Estimating variance from high, low and closing prices
- Fair valuation of participating policies with surrender options and regime switching
- scientific article; zbMATH DE number 1113626 (Why is no real title available?)
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimum consumption and portfolio rules in a continuous-time model
Cited in
(22)- Long horizon predictability: an asset allocation perspective
- Agent's optimal compensation under inflation risk by using dynamic contract model
- Long term optimal investment with regime switching: inflation, information and short sales
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal mean-variance efficiency of a family with life insurance under inflation risk
- Optimal consumption, leisure and job choice under inflationary environment
- A stochastic flows approach for asset allocation with hidden economic environment
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- scientific article; zbMATH DE number 7028767 (Why is no real title available?)
- Strategic asset allocation with switching dependence
- Strategic asset allocation under a fractional hidden Markov model
- Hedging options in a doubly Markov-modulated financial market via stochastic flows
- A martingale approach for asset allocation with derivative security and hidden economic risk
- Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- -robust optimal investment strategy under inflation
- Time-consistent investment strategy for a DC pension plan with the return of premiums clause and mispricing
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
- Long-term real dynamic investment planning
- The optimal mean variance problem with inflation
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