Strategic asset allocation
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Recommendations
- Capital and asset allocation
- Robust asset allocation
- Strategic asset allocation with switching dependence
- Risk sensitive asset allocation
- Positional strategy of forming the investment portfolio
- Strategic asset allocation with liabilities: beyond stocks and bonds
- Asset allocation and derivatives
- scientific article; zbMATH DE number 911786
- Asset Proportions in Optimal Portfolios
- scientific article; zbMATH DE number 2166883
Cites work
- A model for portfolio management with mortgage-backed securities
- A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
- scientific article; zbMATH DE number 3662819 (Why is no real title available?)
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
- Optimum consumption and portfolio rules in a continuous-time model
- Parallel Factorization of Structured Matrices Arising in Stochastic Programming
- Stochastic Network Programming for Financial Planning Problems
Cited in
(only showing first 100 items - show all)- Multi-period portfolio optimization with linear control policies
- An efficient ex-ante criterion for ranking investment strategies
- Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation
- Asset allocation under multivariate regime switching
- Portfolio selection with transaction costs under expected shortfall constraints
- Dynamic models for fixed-income portfolio management under uncertainty
- Asset allocation with time variation in expected returns
- The optimal portfolio problem with coherent risk measure constraints.
- Financial planning via multi-stage stochastic optimization.
- Risk sensitive asset allocation
- An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions
- Dynamic portfolio choices by simulation-and-regression: revisiting the issue of value function vs. portfolio weight recursions
- Asset allocation with time series momentum and reversal
- Permanent shocks, signal extraction, and portfolio selection
- Investment with restricted stock and the value of information
- Positional strategy of forming the investment portfolio
- Risk-sensitive control and an optimal investment model. II.
- Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment
- Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.
- Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Asset allocation under predictability and parameter uncertainty using Lasso
- Portfolio selection: a review
- Optimal portfolio decision rule under nonparametric characterization of the interest rate dynamics
- A stochastic programming approach for multi-period portfolio optimization
- Mixed-asset portfolio allocation under mean-reverting asset returns
- Hedging recessions
- Portfolio selection with inflation-linked bonds and indexation lags
- Robust asset allocation
- A two-asset stochastic model for long-term portfolio selection
- Dynamic portfolio choice: a simulation-and-regression approach
- Ergodic and adaptive control of hidden Markov models
- Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
- A portfolio-based evaluation of affine term structure models
- Optimal asset--liability management with constraints: A dynamic programming approach
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Computation of optimal portfolios using simulation-based dimension reduction
- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Sequential importance sampling algorithms for dynamic stochastic programming
- A framework algorithm to compute optimal asset allocation for retirement with behavioral utilities
- Strategic asset allocation and market timing: a reinforcement learning approach
- Intertemporal asset allocation when the underlying factors are unobservable
- Factor investing for the long run
- The TEAM Approach to Investing
- Tax-aware dynamic asset allocation
- Term structure of risk under alternative econometric specifications
- Predictable returns and asset allocation: should a skeptical investor time the market?
- Optimal design of equity-linked products with a probabilistic constraint
- Momentum and mean reversion in strategic asset allocation
- A method for solving general equilibrium models with incomplete markets and many financial assets
- OPTIMAL PORTFOLIO CONSTRUCTION UNDER PARTIAL INFORMATION FOR A BALANCED FUND
- Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate
- Solving ALM problems via sequential stochastic programming
- Robust convex conic optimization in D-induced duality framework
- State-Dependent Utility
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
- scientific article; zbMATH DE number 1304940 (Why is no real title available?)
- scientific article; zbMATH DE number 1304946 (Why is no real title available?)
- scientific article; zbMATH DE number 1304948 (Why is no real title available?)
- A Dynamic, Globally Diversified, Index Neutral Synthetic Asset Allocation Strategy
- scientific article; zbMATH DE number 2065345 (Why is no real title available?)
- A LARGE DEVIATION APPROACH TO PORTFOLIO MANAGEMENT
- Dynamic portfolio optimization across hidden market regimes
- Asset allocation and derivatives
- Strategic commodity allocation
- Option overlay strategies
- Strategic asset allocation with switching dependence
- Dynamic portfolio optimization across hidden market regimes
- Optimal investment in the development of oil and gas field
- Optimal portfolio choices using financial leverage
- Optimal investment and consumption under a continuous-time cointegration model with exponential utility
- Correlations between stock returns and bond returns: income and substitution effects
- Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
- STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION
- On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk
- Constant rebalanced portfolio optimization under nonlinear transaction costs
- Cointegration and long-run asset allocation
- Asset allocation under threshold autoregressive models
- Dynamic asset allocation with predictable asset return
- Optimal Asset Allocation with Asymptotic Criteria
- Solving life-cycle problems with biometric risk by artificial insurance markets
- A note on bivariate dual generalized Marshall-Olkin distributions with applications
- Quantifying the impact of partial information on Sharpe ratio optimization
- Optimal management under stochastic interest rates: the case of a protected defined contribution pension fund
- Scenario generation and stochastic programming models for asset liability management
- Dynamic asset allocation with mean variance preferences and a solvency constraint
- Optimal asset allocation under search frictions and stochastic interest rate
- Dynamic trading with Markov liquidity switching
- Does investment in insurance stocks reap diversification benefits? Static and time varying copula modeling
- Jump-diffusion risk-sensitive benchmarked asset management with traditional and alternative data
- Power utility maximization with expert opinions at fixed arrival times in a market with hidden Gaussian drift
- Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
- Strategic international asset allocation under a quadratic model with exchange rate and inflation-deflation risks
- On Merton's optimal portfolio problem with sporadic bankruptcy for isoelastic utility
- Optimal control problems for stochastic processes with absorbing regime
- Risk conscious investment
- Predictability of stock returns and asset allocation under structural breaks
- Does surplus/deficit sharing increase risk-taking in a corporate defined benefit pension plan?
- Strategic asset allocation with liabilities: beyond stocks and bonds
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