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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

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Cited by:

  1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania.
  2. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
  3. 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.
  4. Cheng, Yuyang & Escobar-Anel, Marcos, 2023. "A class of portfolio optimization solvable problems," Finance Research Letters, Elsevier, vol. 52(C).
  5. Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October.
  6. van den Bremer, Ton & van der Ploeg, Frederick & Wills, Samuel, 2016. "The Elephant In The Ground: Managing Oil And Sovereign Wealth," European Economic Review, Elsevier, vol. 82(C), pages 113-131.
  7. Darrel Duffie & Damir Filipović & Walter Schachermayer, 2002. "Affine Processes and Application in Finance," NBER Technical Working Papers 0281, National Bureau of Economic Research, Inc.
  8. Sang Byung Seo & Jessica A. Wachter, 2019. "Option Prices in a Model with Stochastic Disaster Risk," Management Science, INFORMS, vol. 65(8), pages 3449-3469, August.
  9. 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.
  10. 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.
  11. John Y. Campbell & Yeung Lewis Chanb & M. Viceira, 2013. "A multivariate model of strategic asset allocation," World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part II, chapter 39, pages 809-848, World Scientific Publishing Co. Pte. Ltd..
  12. Dietmar P.J. Leisen & Eckhard Platen, 2017. "Investing for the Long Run," Research Paper Series 381, Quantitative Finance Research Centre, University of Technology, Sydney.
  13. 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.
  14. 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.
  15. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages 1-25, March.
  16. Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 155-202, December.
  17. 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.
  18. Wu, Hui & Ma, Chaoqun & Yue, Shengjie, 2017. "Momentum in strategic asset allocation," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 115-127.
  19. 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.
  20. Nicole Bauerle & Sascha Desmettre, 2018. "Portfolio Optimization in Fractional and Rough Heston Models," Papers 1809.10716, arXiv.org, revised May 2019.
  21. Yaroslav Melnyk & Frank Thomas Seifried, 2018. "Small†cost asymptotics for long†term growth rates in incomplete markets," Mathematical Finance, Wiley Blackwell, vol. 28(2), pages 668-711, April.
  22. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December.
  23. Maxim Bichuch & Jean‐Pierre Fouque, 2023. "Optimal investment with correlated stochastic volatility factors," Mathematical Finance, Wiley Blackwell, vol. 33(2), pages 342-369, April.
  24. Jakub W. Jurek & Luis M. Viceira, 2011. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," Review of Finance, European Finance Association, vol. 15(1), pages 29-74.
  25. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
  26. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," LIDAM Discussion Papers IRES 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  27. 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.
  28. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
  29. 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.
  30. Xu, Shaofeng, 2017. "Volatility risk and economic welfare," Journal of Economic Dynamics and Control, Elsevier, vol. 80(C), pages 17-33.
  31. 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.
  32. 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.
  33. 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.
  34. 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.).
  35. Yuyang Cheng & Marcos Escobar-Anel, 2023. "Optimal Consumption and Robust Portfolio Choice for the 3/2 and 4/2 Stochastic Volatility Models," Mathematics, MDPI, vol. 11(18), pages 1-28, September.
  36. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017. "Volatility of aggregate volatility and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
  37. Qicai Li & Mengdi Gu & Zhibing Liang, 2014. "Optimal excess-of-loss reinsurance and investment polices under the CEV model," Annals of Operations Research, Springer, vol. 223(1), pages 273-290, December.
  38. Martin B. Haugh & Leonid Kogan & Jiang Wang, 2006. "Evaluating Portfolio Policies: A Duality Approach," Operations Research, INFORMS, vol. 54(3), pages 405-418, June.
  39. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1427-1440, May.
  40. 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.
  41. 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.
  42. Bilel Jarraya & Abdelfettah Bouri, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 2(4), pages 30-44, October.
  43. 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.
  44. Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov, 2017. "Optimal investment under multi-factor stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 241-260, February.
  45. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  46. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010. "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, vol. 16(3), pages 227-244.
  47. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
  48. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  49. 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.
  50. Francisco Peñaranda, 2004. "Are Vector Autoregressions an Accurate Model for Dynamic Asset Allocation?," Working Papers wp2004_0419, CEMFI.
  51. 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.
  52. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center.
  53. Juan Carlos Parra‐Alvarez & Olaf Posch & Andreas Schrimpf, 2022. "Peso problems in the estimation of the C‐CAPM," Quantitative Economics, Econometric Society, vol. 13(1), pages 259-313, January.
  54. Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," LIDAM Discussion Papers IRES 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  55. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
  56. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications, The World Bank, number 2462, September.
  57. Sang Byung Seo & Jessica A. Wachter, 2016. "Do Rare Events Explain CDX Tranche Spreads?," NBER Working Papers 22723, National Bureau of Economic Research, Inc.
  58. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 175-206, December.
  59. Ahmad Telfah, "undated". "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
  60. An Chen & Thai Nguyen & Manuel Rach, 2021. "A collective investment problem in a stochastic volatility environment: The impact of sharing rules," Annals of Operations Research, Springer, vol. 302(1), pages 85-109, July.
  61. Sang Byung Seo & Jessica A. Wachter, 2013. "Option Prices in a Model with Stochastic Disaster Risk," NBER Working Papers 19611, National Bureau of Economic Research, Inc.
  62. Matthew Lorig & Ronnie Sircar, 2015. "Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio," Papers 1506.06180, arXiv.org.
  63. David Hobson & Martin Herdegen & Joseph Jerome, 2021. "The Infinite Horizon Investment-Consumption Problem for Epstein-Zin Stochastic Differential Utility," Papers 2107.06593, arXiv.org.
  64. Minglian Lin & Indranil SenGupta, 2021. "Analysis of optimal portfolio on finite and small time horizons for a stochastic volatility market model," Papers 2104.06293, arXiv.org.
  65. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc.
  66. 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.
  67. Yu, Miao & Song, Jinguo, 2018. "Volatility forecasting: Global economic policy uncertainty and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 511(C), pages 316-323.
  68. Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
  69. Lee, Hyun-Tak, 2016. "Dynamic consumption and portfolio choice with permanent learning," Finance Research Letters, Elsevier, vol. 19(C), pages 112-118.
  70. Sasha F. Stoikov & Thaleia Zariphopoulou, 2005. "Dynamic Asset Allocation And Consumption Choice In Incomplete Markets," Australian Economic Papers, Wiley Blackwell, vol. 44(4), pages 414-454, December.
  71. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
  72. Ruimeng Hu & Thaleia Zariphopoulou, 2021. "$N$-player and Mean-field Games in It\^{o}-diffusion Markets with Competitive or Homophilous Interaction," Papers 2106.00581, arXiv.org, revised Jun 2021.
  73. Ying‐Yin Chou & Nan‐Wei Han & Mao‐Wei Hung, 2011. "Optimal portfolio‐consumption choice under stochastic inflation with nominal and indexed bonds," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(6), pages 691-706, November.
  74. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "Robo-advising: a dynamic mean-variance approach," Digital Finance, Springer, vol. 3(2), pages 81-97, June.
  75. Kasper Larsen, 2009. "Continuity Of Utility‐Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250, April.
  76. Xu, Shaofeng, 2016. "Interpreting volatility shocks as preference shocks," Economics Letters, Elsevier, vol. 149(C), pages 135-140.
  77. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc.
  78. Gregorio Impavido & Esperanza Lasagabaster & Manuel Garcia-Huitron, 2010. "New Policies for Mandatory Defined Contribution Pensions : Industrial Organization Models and Investment Products," World Bank Publications - Books, The World Bank Group, number 2462, December.
  79. Alan Moreira & Tyler Muir, 2016. "Volatility Managed Portfolios," NBER Working Papers 22208, National Bureau of Economic Research, Inc.
  80. Sascha Desmettre & Sebastian Merkel & Annalena Mickel & Alexander Steinicke, 2023. "Worst-Case Optimal Investment in Incomplete Markets," Papers 2311.10021, arXiv.org.
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  82. Francesco Menoncin & Olivier Scaillet, 2003. "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series rp101, International Center for Financial Asset Management and Engineering.
  83. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
  84. Munk, Claus, 2020. "A mean-variance benchmark for household portfolios over the life cycle," Journal of Banking & Finance, Elsevier, vol. 116(C).
  85. Martin Herdegen & David Hobson & Alex S. L. Tse, 2024. "Portfolio Optimization under Transaction Costs with Recursive Preferences," Papers 2402.08387, arXiv.org.
  86. 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.
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  91. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
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  132. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center.
  133. Thiago de Oliveira Souza, 2010. "Strategic Asset Allocation with Heterogeneous Beliefs," Working Papers ECARES ECARES 2010-042, ULB -- Universite Libre de Bruxelles.
  134. Yumo Zhang, 2023. "Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 46(1), pages 97-128, June.
  135. Qian Lin & Frank Riedel, 2014. "Optimal consumption and portfolio choice with ambiguity," Papers 1401.1639, arXiv.org.
  136. 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.
  137. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  138. Menoncin, Francesco, 2008. "The role of longevity bonds in optimal portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 343-358, February.
  139. Weihuan Huang, 2023. "Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method," Papers 2310.18658, arXiv.org.
  140. Gollier, Christian, 2005. "Optimal Portfolio Management for Individual Pension Plans," IDEI Working Papers 298, Institut d'Économie Industrielle (IDEI), Toulouse.
  141. Mignanego, Fausto & Sbuelz, Alessandro, 2022. "Analytical cyclical price–dividend ratios," Economics Letters, Elsevier, vol. 215(C).
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