Strategic asset allocation in a continuous-time VAR model

DOI10.1016/j.jedc.2003.09.005zbMath1202.91294MaRDI QIDQ953710

B. E. Eshmatov

Publication date: 6 November 2008

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w9547.pdf

zbMATH Keywords

recursive utility; portfolio choice; time aggregation; intertemporal hedging; long-term investing

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

91G10: Portfolio theory

Related Items

Robust consumption and portfolio choice for time varying investment opportunities, Strategic asset allocation with liabilities: beyond stocks and bonds, Pension fund investments and the valuation of liabilities under conditional indexation, Nash competitive equilibria and two-period fund separation, Taylor series approximations to expected utility and optimal portfolio choice, Consumption-portfolio optimization with recursive utility in incomplete markets, A stochastic programming approach for multi-period portfolio optimization, Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium, Strategic asset allocation and market timing: a reinforcement learning approach, Intertemporal asset allocation when the underlying factors are unobservable, ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG, Dynamic consumption and asset allocation with derivative securities, State-Dependent Utility

Cites Work

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