Strategic asset allocation in a continuous-time VAR model
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Publication:953710
DOI10.1016/J.JEDC.2003.09.005zbMATH Open1202.91294OpenAlexW3121952528MaRDI QIDQ953710FDOQ953710
Authors: B. E. Eshmatov 
Publication date: 6 November 2008
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w9547.pdf
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Stochastic Differential Utility
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Smart Money, Noise Trading and Stock Price Behaviour
- Title not available (Why is that?)
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
Cited In (25)
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Efficient gradualism in intertemporal portfolios.
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Cointegration and long-run asset allocation
- State-Dependent Utility
- Robust consumption and portfolio choice for time varying investment opportunities
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- Strategic asset allocation with switching dependence
- Elasticity approach to asset allocation in discrete time
- Intertemporal asset allocation when the underlying factors are unobservable
- Towards the real time solution of strike force asset allocation problems
- Nash competitive equilibria and two-period fund separation
- Gain/loss asymmetric stochastic differential utility
- A stochastic programming approach for multi-period portfolio optimization
- Strategic asset allocation and market timing: a reinforcement learning approach
- Robust consumption and portfolio choice with derivatives trading
- Robust consumption and portfolio policies when asset prices can jump
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Optimal consumption and investment with Epstein-Zin recursive utility
- Pension fund investments and the valuation of liabilities under conditional indexation
- Dynamic consumption and asset allocation with derivative securities
- Strategic asset allocation with liabilities: beyond stocks and bonds
- Taylor series approximations to expected utility and optimal portfolio choice
- The precision of subjective data and the explanatory power of economic models
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