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Citations for "Dynamic Nonmyopic Portfolio Behavior"

by Kim, Tong Suk & Omberg, Edward

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  1. John Y. Campbell, 2006. "Household Finance," NBER Working Papers 12149, National Bureau of Economic Research, Inc.
  2. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 1-48, Winter.
  3. Gollier, Christian, 2005. "Optimal Portfolio Management for Individual Pension Plans," IDEI Working Papers 298, Institut d'Économie Industrielle (IDEI), Toulouse.
  4. Lundtofte, Frederik, 2008. "Expected life-time utility and hedging demands in a partially observable economy," European Economic Review, Elsevier, vol. 52(6), pages 1072-1096, August.
  5. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 59-78.
  6. Lynch, Anthony W., 2001. "Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability," Journal of Financial Economics, Elsevier, vol. 62(1), pages 67-130, October.
  7. Viceira, Luis & Campbell, John, 2001. "Who Should Buy Long-Term Bonds?," Scholarly Articles 3128709, Harvard University Department of Economics.
  8. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
  9. 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.
  10. Daniela Neykova & Marcos Escobar & Rudi Zagst, 2015. "Optimal investment in multidimensional Markov-modulated affine models," Annals of Finance, Springer, vol. 11(3), pages 503-530, November.
  11. Leonid Kogan & Raman Uppal, . "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research.
  12. Jessica A. Wachter & Motohiro Yogo, 2010. "Why Do Household Portfolio Shares Rise in Wealth?," NBER Working Papers 16316, National Bureau of Economic Research, Inc.
  13. 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.
  14. Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Sonderforschungsbereich 504 Publications 02-49, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
  15. Balduzzi, Pierluigi & Lynch, Anthony W., 1999. "Transaction costs and predictability: some utility cost calculations," Journal of Financial Economics, Elsevier, vol. 52(1), pages 47-78, April.
  16. Zhen Shi & Bas J.M. Werker, 2011. "Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation," Tinbergen Institute Discussion Papers 11-053/2/DSF17, Tinbergen Institute.
  17. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
  18. Jaime A. Londo\~no, 2006. "State Dependent Utility," Papers math/0603316, arXiv.org.
  19. Campbell, John Y & Viceira, Luis M & White, Josh S., 2002. "Foreign Currency for Long-Term Investors," CEPR Discussion Papers 3463, C.E.P.R. Discussion Papers.
  20. James Kung, 2008. "Dynamic strategies for fixed-income investment," Applied Economics, Taylor & Francis Journals, vol. 40(10), pages 1341-1354.
  21. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis.
  22. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis.
  23. Gollier, Christian, 2007. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 430, Institut d'Économie Industrielle (IDEI), Toulouse.
  24. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, Department of Economics and Business Economics, Aarhus University.
  25. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
  26. Lioui, Abraham, 2007. "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1185-1216, April.
  27. 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.
  28. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal asset allocation when the underlying factors are unobservable," Computational Economics, Society for Computational Economics, vol. 29(3), pages 383-418, May.
  29. Albagli, Elias, 2015. "Investment horizons and asset prices under asymmetric information," Journal of Economic Theory, Elsevier, vol. 158(PB), pages 787-837.
  30. Filipović, Damir & Gourier, Elise & Mancini, Loriano, 2016. "Quadratic variance swap models," Journal of Financial Economics, Elsevier, vol. 119(1), pages 44-68.
  31. 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.
  32. George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc.
  33. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009. "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 94-112, August.
  34. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies Under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney.
  35. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  36. Ferstl, Robert & Weissensteiner, Alex, 2011. "Asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 35(1), pages 182-192, January.
  37. 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.
  38. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
  39. Constantin Mellios & Pierre Six & Anh Ngoc Lai, 2016. "Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield," Post-Print halshs-01244560, HAL.
  40. Martin D. D. Evans (Georgetown University) and Viktoria Hnatkovska (Georgetown University), 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," Working Papers gueconwpa~05-05-18, Georgetown University, Department of Economics.
  41. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  42. Najafi, Amir Abbas & Pourahmadi, Zahra, 2016. "An efficient heuristic method for dynamic portfolio selection problem under transaction costs and uncertain conditions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 154-162.
  43. Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
  44. Kasper Larsen & Hang Yu, 2012. "Horizon dependence of utility optimizers in incomplete models," Finance and Stochastics, Springer, vol. 16(4), pages 779-801, October.
  45. Edward Schlee & Christian Gollier, . "Information and the Equity Premium," Working Papers 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University.
  46. Cooper, James B. & Russell, Thomas & Samuelson, Paul A., 2004. "Testing the expected utility maximization hypothesis with limited experimental data," Japan and the World Economy, Elsevier, vol. 16(3), pages 391-407, August.
  47. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
  48. 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, vol. 18(2), pages 151-166, May.
  49. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascala J. Maenhout, 2000. "Investing Retirement Wealth? A Life-Cycle Model," Harvard Institute of Economic Research Working Papers 1896, Harvard - Institute of Economic Research.
  50. 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.
  51. Francesco, MENONCIN, 2002. "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  52. 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.
  53. Anthony W. Lynch, 2000. "Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-073, New York University, Leonard N. Stern School of Business-.
  54. 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.
  55. Branger, Nicole & Hansis, Alexandra, 2015. "Earning the right premium on the right factor in portfolio planning," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 367-383.
  56. Sami Attaoui & Pierre Six, 2014. "Hedging demand and the certainty equivalent of wealth," Economics Bulletin, AccessEcon, vol. 34(3), pages 1742-1750.
  57. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, 08.
  58. Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc.
  59. Jarraya, Bilel & Bouri, Abdelfettah, 2013. "A Theoretical Assessment on Optimal Asset Allocations in Insurance Industry," MPRA Paper 53534, University Library of Munich, Germany, revised 2013.
  60. Francesco MENONCIN, 2002. "How the Financial Managers’ Remuneration Can Affect the Optimal Portfolio Composition ?," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  61. Gollier, Christian, 2003. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," IDEI Working Papers 250, Institut d'Économie Industrielle (IDEI), Toulouse.
  62. Kaminski, Kathryn M. & Lo, Andrew W., 2014. "When do stop-loss rules stop losses?," Journal of Financial Markets, Elsevier, vol. 18(C), pages 234-254.
  63. 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.
  64. Gülpinar, Nalan & Pachamanova, Dessislava, 2013. "A robust optimization approach to asset-liability management under time-varying investment opportunities," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2031-2041.
  65. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
  66. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
  67. Paolo Guasoni & Johannes Muhle-Karbe, 2012. "Portfolio Choice with Transaction Costs: a User's Guide," Papers 1207.7330, arXiv.org.
  68. 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," Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
  69. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, vol. 19(2), pages 241-253.
  70. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
  71. Dumas, Bernard J & Kurshev, Alexander & Uppal, Raman, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," CEPR Discussion Papers 5367, C.E.P.R. Discussion Papers.
  72. François Legendre & Djibril Togola, 2015. "Explicit solutions to dynamic portfolio choice problems: A continuous-time detour," Working Papers hal-01117787, HAL.
  73. Herve Roche, 2004. "Optimum Consumption and Portfolio Allocations under Incomplete Information," Econometric Society 2004 Latin American Meetings 79, Econometric Society.
  74. Andreas Graflund & Birger Nilsson, 2003. "Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon," European Financial Management, European Financial Management Association, vol. 9(2), pages 179-200.
  75. JULES H. van BINSBERGEN & MICHAEL W. BRANDT & RALPH S. J. KOIJEN, 2008. "Optimal Decentralized Investment Management," Journal of Finance, American Finance Association, vol. 63(4), pages 1849-1895, 08.
  76. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, vol. 57(4), pages 273-287.
  77. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris.
  78. Jan Kallsen & Johannes Muhle-Karbe, 2009. "Utility maximization in models with conditionally independent increments," Papers 0911.3608, arXiv.org.
  79. Hao Xing, 2015. "Consumption investment optimization with Epstein-Zin utility in incomplete markets," Papers 1501.04747, arXiv.org, revised Nov 2015.
  80. Michele Longo & Alessandra Mainini, 2015. "Learning and Portfolio Decisions for HARA Investors," Papers 1502.02968, arXiv.org.
  81. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management qt3167f8mz, Anderson Graduate School of Management, UCLA.
  82. Elías Albagli, 2013. "Investment Horizons and Asset Prices under Asymmetric Information," Working Papers Central Bank of Chile 709, Central Bank of Chile.
  83. Oumar Mbodji & Adrien Nguyen Huu & Traian A. Pirvu, 2014. "Optimal allocation of wealth for two consuming agents sharing a portfolio," Working Papers hal-00940233, HAL.
  84. Tyler Muir & Erkko Etula & Tobias Adrian, 2011. "Broker-Dealer Leverage and the Cross-Section of Stock Returns," 2011 Meeting Papers 1448, Society for Economic Dynamics.
  85. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  86. Kandel, Shmuel & Kuznitz, Arik, 2004. "A Portfolio Choice Model with Utility from Anticipation of Future Consumption and Stock Markets' Mean Reversion," CEPR Discussion Papers 4701, C.E.P.R. Discussion Papers.
  87. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.
  88. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  89. Delgado, Francisco & Dumas, Bernard & Puopolo, Giovanni W., 2015. "Hysteresis bands on returns, holding period and transaction costs," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 86-100.
  90. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
  91. Ibrahim Ekren & Ren Liu & Johannes Muhle-Karbe, 2015. "Optimal Rebalancing Frequencies for Multidimensional Portfolios," Papers 1510.05097, arXiv.org.
  92. 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.
  93. Menoncin, Francesco, 2002. "Optimal portfolio and background risk: an exact and an approximated solution," Insurance: Mathematics and Economics, Elsevier, vol. 31(2), pages 249-265, October.
  94. Vladislav Kargin, 2003. "Optimal Convergence Trading," Papers math/0302104, arXiv.org, revised Aug 2003.
  95. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc.
  96. Munk, Claus & Sorensen, Carsten & Nygaard Vinther, Tina, 2004. "Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 141-166.
  97. Becheri, I.G., 2012. "Limiting experiments for panel-data and jump-diffusion models," Other publications TiSEM 7e53f6cf-fab1-4f86-9e5d-b, Tilburg University, School of Economics and Management.
  98. Brennan, Michael & Wang, Ashley W & Xia, Yihong, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management qt20r0j5t8, Anderson Graduate School of Management, UCLA.
  99. Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
  100. Oumar Mbodji & Adrien Nguyen Huu & Traian A. Pirvu, 2014. "Optimal allocation of wealth for two consuming agents sharing a portfolio," Papers 1402.1052, arXiv.org, revised Mar 2015.
  101. Menoncin, Francesco, 2008. "The role of longevity bonds in optimal portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 343-358, February.
  102. Chakroun, Fatma & Abid, Fathi, 2014. "Dynamic asset allocation for bank under stochastic interest rates," MPRA Paper 59295, University Library of Munich, Germany.
  103. 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.
  104. Marc-Andre Letendre & Gregor Smith, 2000. "Precautionary saving and portfolio allocation: DP by GMM," Working Papers 1247, Queen's University, Department of Economics.
  105. Xiang Yu, 2011. "An Explicit Example Of Optimal Portfolio-Consumption Choices With Habit Formation And Partial Observations," Papers 1112.2939, arXiv.org, revised Aug 2014.
  106. Liu, Jun, 2001. "Dynamic Choice and Risk Aversion," University of California at Los Angeles, Anderson Graduate School of Management qt36v1d9zg, Anderson Graduate School of Management, UCLA.
  107. Bielecki, Tomasz R. & Pliska, Stanley R. & Sherris, Michael, 2000. "Risk sensitive asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 24(8), pages 1145-1177, July.
  108. Kai Li & Jun Liu, 2016. "Reversing Momentum: The Optimal Dynamic Momentum Strategy," Research Paper Series 370, Quantitative Finance Research Centre, University of Technology, Sydney.
  109. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers.
  110. 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.
  111. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
  112. 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.
  113. Anis Matoussi & Hao Xing, 2016. "Convex duality for stochastic differential utility," Papers 1601.03562, arXiv.org.
  114. Hening Liu, 2010. "Robust consumption and portfolio choice for time varying investment opportunities," Annals of Finance, Springer, vol. 6(4), pages 435-454, October.
  115. Jun Liu & Francis A. Longstaff & Jun Pan, 2002. "Dynamic Asset Allocation With Event Risk," NBER Working Papers 9103, National Bureau of Economic Research, Inc.
  116. Matheus R Grasselli & Sebastiano Silla, 2009. "A policyholder's utility indifference valuation model for the guaranteed annuity option," Papers 0908.3196, arXiv.org.
  117. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  118. Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 427-453, April.
  119. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  120. Liu, Peng (Peter) & Tang, Ke, 2010. "No-arbitrage conditions for storable commodities and the modeling of futures term structures," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1675-1687, July.
  121. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  122. Kraft, Holger & Munk, Claus & Weiss, Farina, 2016. "Predictors and portfolios over the life cycle," SAFE Working Paper Series 139, Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt.
  123. Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  124. 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.
  125. Cvitanic, Jaksa & Goukasian, Levon & Zapatero, Fernando, 2003. "Monte Carlo computation of optimal portfolios in complete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 27(6), pages 971-986, April.
  126. 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.
  127. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis.
  128. Shi, Zhen & Werker, Bas J.M., 2012. "Short-horizon regulation for long-term investors," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3227-3238.
  129. Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen.
  130. 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.
  131. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
  132. Hui-Ju Tsai & Yangru Wu, 2015. "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 215-249, July.
  133. Moshe A. Milevsky & Virginia R. Young, 2015. "Annuitization and asset allocation," Papers 1506.05990, arXiv.org.
  134. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance.
  135. Henderson, Vicky, 2005. "Explicit solutions to an optimal portfolio choice problem with stochastic income," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1237-1266, July.
  136. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
  137. Thomas Breuer & Martin Jandačka, 2008. "Portfolio selection with transaction costs under expected shortfall constraints," Computational Management Science, Springer, vol. 5(4), pages 305-316, October.
  138. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis.
  139. Farid Mkouar & Jean-Luc Prigent, 2014. "Long-Term Investment with Stochastic Interest and Inflation Rates Incompleteness and Compensating Variation," Working Papers 2014-301, Department of Research, Ipag Business School.
  140. Milevsky, Moshe A. & Young, Virginia R., 2007. "Annuitization and asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 31(9), pages 3138-3177, September.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.