Strategic asset allocation in a continuous-time VAR model
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Cites work
- scientific article; zbMATH DE number 3949563 (Why is no real title available?)
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Optimum consumption and portfolio rules in a continuous-time model
- Smart Money, Noise Trading and Stock Price Behaviour
- Stochastic Differential Utility
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
Cited in
(25)- The precision of subjective data and the explanatory power of economic models
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance
- Strategic asset allocation with liabilities: beyond stocks and bonds
- Dynamic consumption and asset allocation with derivative securities
- Strategic asset allocation and market timing: a reinforcement learning approach
- Robust consumption and portfolio policies when asset prices can jump
- Strategic asset allocation with switching dependence
- Gain/loss asymmetric stochastic differential utility
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Elasticity approach to asset allocation in discrete time
- Cointegration and long-run asset allocation
- ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
- Intertemporal asset allocation when the underlying factors are unobservable
- A stochastic programming approach for multi-period portfolio optimization
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Pension fund investments and the valuation of liabilities under conditional indexation
- Robust consumption and portfolio choice with derivatives trading
- Towards the real time solution of strike force asset allocation problems
- Efficient gradualism in intertemporal portfolios.
- Optimal consumption and investment with Epstein-Zin recursive utility
- State-Dependent Utility
- Taylor series approximations to expected utility and optimal portfolio choice
- Nash competitive equilibria and two-period fund separation
- Robust consumption and portfolio choice for time varying investment opportunities
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