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Portfolio Selection in Stochastic Environments

Citations

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Cited by:

  1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
  2. Escobar-Anel, Marcos & Spies, Ben & Zagst, Rudi, 2024. "Mean–variance optimization under affine GARCH: A utility-based solution," Finance Research Letters, Elsevier, vol. 59(C).
  3. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, February.
  4. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
  5. Marcos Escobar-Anel & Ben Spies & Rudi Zagst, 2024. "Optimal consumption and investment in general affine GARCH models," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 46(3), pages 987-1026, September.
  6. Carl Chiarella & Willi Semmler & Chih-Ying Hsiao & Lebogang Mateane, 2016. "Asset Accumulation and Portfolio Decisions Under Inflation Risk," Dynamic Modeling and Econometrics in Economics and Finance, in: Sustainable Asset Accumulation and Dynamic Portfolio Decisions, chapter 0, pages 139-177, Springer.
  7. Ya Huang & Xiangqun Yang & Jieming Zhou, 2017. "Robust optimal investment and reinsurance problem for a general insurance company under Heston model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 305-326, April.
  8. 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.
  9. Legendre, François & Togola, Djibril, 2016. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Economic Modelling, Elsevier, vol. 58(C), pages 627-641.
  10. Jamel Boukhatem, 2021. "Sukuk Market and Economic Welfare Nexus: A Partial Equilibrium Approach," International Journal of Economics and Financial Issues, Econjournals, vol. 11(3), pages 142-145.
  11. Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org, revised May 2015.
  12. Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
  13. Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016. "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, vol. 16(C), pages 220-229.
  14. Shen, Yang & Siu, Tak Kuen, 2012. "Asset allocation under stochastic interest rate with regime switching," Economic Modelling, Elsevier, vol. 29(4), pages 1126-1136.
  15. Kimball, Miles S. & Shapiro, Matthew D. & Shumway, Tyler & Zhang, Jing, 2020. "Portfolio rebalancing in general equilibrium," Journal of Financial Economics, Elsevier, vol. 135(3), pages 816-834.
  16. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
  17. Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
  18. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2022. "Portfolio choice with return predictability and small trading frictions," Economic Modelling, Elsevier, vol. 111(C).
  19. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series 2021-063, Board of Governors of the Federal Reserve System (U.S.).
  20. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
  21. Simon Ellersgaard & Martin Tegnér, 2018. "Stochastic volatility for utility maximizers — A martingale approach," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-39, March.
  22. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 119001, London School of Economics and Political Science, LSE Library.
  23. Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou, 2019. "Personalized Robo-Advising: Enhancing Investment through Client Interaction," Papers 1911.01391, arXiv.org, revised Nov 2020.
  24. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  25. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc.
  26. Weidong Tian & Murray Carlson & David A. Chapman & Ron Kaniel & Hong Yan, 2017. "Specification Error, Estimation Risk, and Conditional Portfolio Rules," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 263-288, June.
  27. Agostino Capponi & Christoph Frei, 2017. "Systemic Influences on Optimal Equity-Credit Investment," Management Science, INFORMS, vol. 63(8), pages 2756-2771, August.
  28. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
  29. Zhu, Yingzi & Zhou, Guofu, 2009. "Technical analysis: An asset allocation perspective on the use of moving averages," Journal of Financial Economics, Elsevier, vol. 92(3), pages 519-544, June.
  30. Jakub Trybuła & Dariusz Zawisza, 2019. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 966-987, August.
  31. Guiyuan Ma & Song-Ping Zhu & Boda Kang, 2020. "A Numerical Solution of Optimal Portfolio Selection Problem with General Utility Functions," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 957-981, March.
  32. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2019. "Dynamic portfolio choice with return predictability and transaction costs," European Journal of Operational Research, Elsevier, vol. 278(3), pages 976-988.
  33. Farina Weiss, 2021. "A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 93(1), pages 33-81, February.
  34. Min Dai & Yuchao Dong & Yanwei Jia, 2023. "Learning equilibrium mean‐variance strategy," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1166-1212, October.
  35. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
  36. Kasper Larsen, 2009. "Continuity Of Utility‐Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250, April.
  37. Agostino Capponi & Sveinn Ólafsson & Thaleia Zariphopoulou, 2022. "Personalized Robo-Advising: Enhancing Investment Through Client Interaction," Management Science, INFORMS, vol. 68(4), pages 2485-2512, April.
  38. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
  39. Sascha Desmettre & Sebastian Merkel & Annalena Mickel & Alexander Steinicke, 2023. "Worst-Case Optimal Investment in Incomplete Markets," Papers 2311.10021, arXiv.org, revised Dec 2024.
  40. Victor Troster & José Penalva & Abderrahim Taamouti & Dominik Wied, 2021. "Cointegration, information transmission, and the lead‐lag effect between industry portfolios and the stock market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1291-1309, November.
  41. Jiaqi Zhu & Shenghong Li, 2020. "Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility," Mathematics, MDPI, vol. 8(12), pages 1-22, December.
  42. Paolo Guasoni & Gu Wang, 2020. "Consumption in incomplete markets," Finance and Stochastics, Springer, vol. 24(2), pages 383-422, April.
  43. Guiyuan Ma & Song-Ping Zhu, 2022. "Revisiting the Merton Problem: from HARA to CARA Utility," Computational Economics, Springer;Society for Computational Economics, vol. 59(2), pages 651-686, February.
  44. Guo, Bin & Huang, Fuzhe & Li, Kai, 2022. "Time to build and bond risk premia," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).
  45. Holger Kraft & Thomas Seiferling & Frank Thomas Seifried, 2017. "Optimal consumption and investment with Epstein–Zin recursive utility," Finance and Stochastics, Springer, vol. 21(1), pages 187-226, January.
  46. Branger, Nicole & Schlag, Christian & Schneider, Eva, 2008. "Optimal portfolios when volatility can jump," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1087-1097, June.
  47. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
  48. Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017. "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, vol. 23(2), pages 254-291, March.
  49. Yao, Haixiang & Li, Danping & Wu, Huiling, 2022. "Dynamic trading with uncertain exit time and transaction costs in a general Markov market," International Review of Financial Analysis, Elsevier, vol. 84(C).
  50. Li, Zhongfei & Zeng, Yan & Lai, Yongzeng, 2012. "Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 191-203.
  51. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
  52. Li, Kai, 2019. "Portfolio selection with inflation-linked bonds and indexation lags," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
  53. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May.
  54. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3560-3589, November.
  55. Bolorsuvd BATBOLD & Kentaro Kikuchi & Koji Kusuda, "undated". "A Semi-analytical Solution to Consumption and International Asset Allocation Problem," Discussion Papers CRR Discussion Paper Series B: Financial 17, Shiga University, Faculty of Economics,Center for Risk Research.
  56. Zixin Feng & Dejian Tian, 2021. "Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints," Papers 2111.09032, arXiv.org, revised May 2023.
  57. Oliva, I. & Renò, R., 2018. "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 242-256.
  58. Deng, Chao & Zeng, Xudong & Zhu, Huiming, 2018. "Non-zero-sum stochastic differential reinsurance and investment games with default risk," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1144-1158.
  59. Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 145-165, January.
  60. Collin-Dufresne, Pierre & Daniel, Kent & Sağlam, Mehmet, 2020. "Liquidity regimes and optimal dynamic asset allocation," Journal of Financial Economics, Elsevier, vol. 136(2), pages 379-406.
  61. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2023. "An optimal portfolio and consumption problem with a benchmark and partial information," Mathematics and Financial Economics, Springer, volume 17, number 6, February.
  62. Aepli, Matthias D. & Frauendorfer, Karl & Fuess, Roland & Paraschiv, Florentina, 2015. "Multivariate Dynamic Copula Models: Parameter Estimation and Forecast Evaluation," Working Papers on Finance 1513, University of St. Gallen, School of Finance.
  63. Chenxu Li & O. Scaillet & Yiwen Shen, 2020. "Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets," Swiss Finance Institute Research Paper Series 20-22, Swiss Finance Institute.
  64. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 266-293.
  65. Francisco Gomes & Alexander Michaelides & Yuxin Zhang, 2022. "Tactical Target Date Funds," Management Science, INFORMS, vol. 68(4), pages 3047-3070, April.
  66. Yilie Huang & Yanwei Jia & Xun Yu Zhou, 2024. "Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study," Papers 2412.16175, arXiv.org.
  67. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
  68. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
  69. Holger Kraft & Claus Munk, 2011. "Optimal Housing, Consumption, and Investment Decisions over the Life Cycle," Management Science, INFORMS, vol. 57(6), pages 1025-1041, June.
  70. Servaas van Bilsen & Roger J. A. Laeven & Theo E. Nijman, 2020. "Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level," Management Science, INFORMS, vol. 66(9), pages 3927-3955, September.
  71. Wang, Hang & Hu, Zhijun, 2020. "Optimal consumption and portfolio decision with stochastic covariance in incomplete markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  72. Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019. "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, vol. 15(3), pages 421-453, September.
  73. Peng, Xingchun & Li, Baihui, 2023. "Optimal investment, consumption and life insurance purchase with learning about return predictability," Insurance: Mathematics and Economics, Elsevier, vol. 113(C), pages 70-95.
  74. Alain Bensoussan & Bong-Gyu Jang & Seyoung Park, 2016. "Unemployment Risks and Optimal Retirement in an Incomplete Market," Operations Research, INFORMS, vol. 64(4), pages 1015-1032, August.
  75. Chung, Kee H. & Smith, William T. & Wu, Tao L., 2009. "Time diversification: Definitions and some closed-form solutions," Journal of Banking & Finance, Elsevier, vol. 33(6), pages 1101-1111, June.
  76. Bolorsuvd Batbold & Kentaro Kikuchi & Koji Kusuda, 2022. "Semi-analytical solution for consumption and investment problem under quadratic security market model with inflation risk," Mathematics and Financial Economics, Springer, volume 16, number 4, February.
  77. Kasper Larsen & Hang Yu, 2012. "Horizon dependence of utility optimizers in incomplete models," Finance and Stochastics, Springer, vol. 16(4), pages 779-801, October.
  78. Chabakauri, Georgy, 2015. "Asset pricing with heterogeneous preferences, beliefs, and portfolio constraints," Journal of Monetary Economics, Elsevier, vol. 75(C), pages 21-34.
  79. Chourdakis, Kyriakos & Dotsis, George, 2011. "Maximum likelihood estimation of non-affine volatility processes," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 533-545, June.
  80. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2020. "Dynamic asset allocation with relative wealth concerns in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  81. Marekwica, Marcel & Stamos, Michael Z., 2010. "Optimal life cycle portfolio choice with housing market cycles," CFS Working Paper Series 2010/21, Center for Financial Studies (CFS).
  82. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
  83. Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang, 2016. "Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 77-87.
  84. van Bilsen, Servaas & Laeven, Roger J.A., 2020. "Dynamic consumption and portfolio choice under prospect theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 224-237.
  85. Philipp Karl Illeditsch, 2018. "Residual Inflation Risk," Management Science, INFORMS, vol. 64(11), pages 5289-5314, November.
  86. Oleksii Mostovyi & Mihai S^irbu, 2017. "Sensitivity analysis of the utility maximization problem with respect to model perturbations," Papers 1705.08291, arXiv.org.
  87. Holger Kraft & Frank Seifried & Mogens Steffensen, 2013. "Consumption-portfolio optimization with recursive utility in incomplete markets," Finance and Stochastics, Springer, vol. 17(1), pages 161-196, January.
  88. Chen, Shun & Ge, Lei, 2021. "A learning-based strategy for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 936-942.
  89. Schneider, Andrés, 2022. "Who should buy stocks when volatility spikes?," Journal of Financial Markets, Elsevier, vol. 60(C).
  90. Lin, Qian & Riedel, Frank, 2014. "Optimal consumption and portfolio choice with ambiguity," Center for Mathematical Economics Working Papers 497, Center for Mathematical Economics, Bielefeld University.
  91. Meng-Sung Hsieh, 2016. "Asymmetric Volatility and Dynamic Asset Allocation," Accounting and Finance Research, Sciedu Press, vol. 5(2), pages 126-126, May.
  92. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
  93. Romain Deguest & Lionel Martellini & Vincent Milhau, 2018. "A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems," Management Science, INFORMS, vol. 64(9), pages 4333-4347, September.
  94. Cheng, Yuyang & Escobar-Anel, Marcos, 2023. "A class of portfolio optimization solvable problems," Finance Research Letters, Elsevier, vol. 52(C).
  95. Simon Ellersgaard, 2019. "On the Numerical Solution of Mertonian Control Problems: A Survey of the Markov Chain Approximation Method for the Working Economist," Computational Economics, Springer;Society for Computational Economics, vol. 54(3), pages 1179-1211, October.
  96. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
  97. Shen, Yang & Zeng, Yan, 2015. "Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 118-137.
  98. Toshiki Honda & Shoji Kamimura, 2011. "On the Verification Theorem of Dynamic Portfolio-Consumption Problems with Stochastic Market Price of Risk," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 18(2), pages 151-166, May.
  99. Wenyuan Wang & Kaixin Yan & Xiang Yu, 2024. "Optimal portfolio under ratio-type periodic evaluation in incomplete markets with stochastic factors," Papers 2401.14672, arXiv.org.
  100. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
  101. Ning Bin & Huainian Zhu & Chengke Zhang, 2023. "Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model," Methodology and Computing in Applied Probability, Springer, vol. 25(2), pages 1-27, June.
  102. Ma, Guiyuan & Siu, Chi Chung & Zhu, Song-Ping, 2020. "Optimal investment and consumption with return predictability and execution costs," Economic Modelling, Elsevier, vol. 88(C), pages 408-419.
  103. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
  104. Chen, Xingjiang & Ruan, Xinfeng & Zhang, Wenjun, 2021. "Dynamic portfolio choice and information trading with recursive utility," Economic Modelling, Elsevier, vol. 98(C), pages 154-167.
  105. Anna Battauz & Alessandro Sbuelz, 2018. "Non†myopic portfolio choice with unpredictable returns: The jump†to†default case," European Financial Management, European Financial Management Association, vol. 24(2), pages 192-208, March.
  106. Immacolata Oliva & Ilaria Stefani, 2023. "Co-jumps and recursive preferences in portfolio choices," Annals of Finance, Springer, vol. 19(3), pages 291-324, September.
  107. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
  108. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
  109. Chang Hao & Wang Chunfeng & Fang Zhenming, 2017. "Portfolio Selection with Random Liability and Affine Interest Rate in the Mean-Variance Framework," Journal of Systems Science and Information, De Gruyter, vol. 5(3), pages 229-249, June.
  110. Silas A. Ihedioha & Ben I. Oruh & Bright O. Osu, 2017. "Effect of Correlation of Brownian Motions on an Investor,s Optimal Investment and Consumption Decision under Ornstein-Uhlenbeck Model," Academic Journal of Applied Mathematical Sciences, Academic Research Publishing Group, vol. 3(6), pages 52-61, 06-2017.
  111. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
  112. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
  113. Adam Farago & Erik Hjalmarsson, 2023. "Small Rebalanced Portfolios Often Beat the Market over Long Horizons," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 13(2), pages 307-342.
  114. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
  115. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
  116. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
  117. Mellios, Constantin & Six, Pierre & Lai, Anh Ngoc, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," European Journal of Operational Research, Elsevier, vol. 250(2), pages 493-504.
  118. Kasper Larsen & Oleksii Mostovyi & Gordan v{Z}itkovi'c, 2014. "An expansion in the model space in the context of utility maximization," Papers 1410.0946, arXiv.org, revised Aug 2016.
  119. Min Dai & Steven Kou & Shuaijie Qian & Xiangwei Wan, 2022. "Nonconcave Utility Maximization with Portfolio Bounds," Management Science, INFORMS, vol. 68(11), pages 8368-8385, November.
  120. Chabakauri, Georgy, 2012. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 119046, London School of Economics and Political Science, LSE Library.
  121. 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.
  122. Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
  123. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  124. Aiqin Ma & Cuiyun Zhang & Yubing Wang, 2023. "Optimal Consumption and Investment Problem under 4/2-CIR Stochastic Hybrid Model," Mathematics, MDPI, vol. 11(17), pages 1-19, August.
  125. Ralph S. J. Koijen & Juan Carlos Rodríguez & Alessandro Sbuelz, 2009. "Momentum and Mean Reversion in Strategic Asset Allocation," Management Science, INFORMS, vol. 55(7), pages 1199-1213, July.
  126. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
  127. Chabakauri, Georgy, 2015. "Dynamic equilibrium with rare events and heterogeneous epstein-zin investors," LSE Research Online Documents on Economics 62003, London School of Economics and Political Science, LSE Library.
  128. Hong, Yi & Jin, Xing, 2022. "Pricing of variance swap rates and investment decisions of variance swaps: Evidence from a three-factor model," European Journal of Operational Research, Elsevier, vol. 303(2), pages 975-985.
  129. Matoussi, Anis & Xing, Hao, 2018. "Convex duality for Epstein-Zin stochastic differential utility," LSE Research Online Documents on Economics 82519, London School of Economics and Political Science, LSE Library.
  130. Liu, Qiang & Xiang, Yun & Zhao, Yonghong, 2019. "An outperforming investment strategy under fractional Brownian motion," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 505-515.
  131. Daniel Andrei & Michael Hasler, 2020. "Dynamic Attention Behavior Under Return Predictability," Management Science, INFORMS, vol. 66(7), pages 2906-2928, July.
  132. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
  133. Du Du & Heng-fu Zou, 2008. "Intertemporal Portfolio Choice under Multiple Types of Event Risks," CEMA Working Papers 332, China Economics and Management Academy, Central University of Finance and Economics.
  134. Anna Battauz & Marzia Donno & Alessandro Sbuelz, 2017. "Reaching nirvana with a defaultable asset?," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 40(1), pages 31-52, November.
  135. Guohui Guan & Zongxia Liang & Yi Xia, 2024. "Many-insurer robust games of reinsurance and investment under model uncertainty in incomplete markets," Papers 2412.09157, arXiv.org.
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  137. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "A Dynamic Mean-Variance Analysis for Log Returns," Management Science, INFORMS, vol. 67(2), pages 1093-1108, February.
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