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Static Fund Separation Of Long-Term Investments

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  • Paolo Guasoni
  • Scott Robertson

Abstract

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Suggested Citation

  • Paolo Guasoni & Scott Robertson, 2015. "Static Fund Separation Of Long-Term Investments," Mathematical Finance, Wiley Blackwell, vol. 25(4), pages 789-826, October.
    • Handle: RePEc:bla:mathfi:v:25:y:2015:i:4:p:789-826
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    File URL: http://hdl.handle.net/10.1111/mafi.2015.25.issue-4
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    Citations

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    Cited by:

    1. Daeyung Gim & Hyungbin Park, 2021. "A deep learning algorithm for optimal investment strategies," Papers 2101.12387, arXiv.org.
    2. Kasper Larsen & Oleksii Mostovyi & Gordan Žitković, 2018. "An expansion in the model space in the context of utility maximization," Finance and Stochastics, Springer, vol. 22(2), pages 297-326, April.
    3. Hyungbin Park, 2021. "Influence of risk tolerance on long-term investments: A Malliavin calculus approach," Papers 2104.00911, arXiv.org.
    4. Hyungbin Park & Heejun Yeo, 2022. "Dynamic and static fund separations and their stability for long-term optimal investments," Papers 2212.00391, arXiv.org, revised Mar 2023.
    5. Oleksii Mostovyi & Mihai Sîrbu, 2019. "Sensitivity analysis of the utility maximisation problem with respect to model perturbations," Finance and Stochastics, Springer, vol. 23(3), pages 595-640, July.
    6. Oleksii Mostovyi & Mihai S^irbu, 2017. "Sensitivity analysis of the utility maximization problem with respect to model perturbations," Papers 1705.08291, arXiv.org.

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