Changes in multiplicative risks and optimal portfolio choice: new interpretations and results
Sign Up to like & getrecommendations! Published in 2019 at "Decisions in Economics and Finance"
DOI: 10.1007/s10203-019-00250-1
Abstract: This paper reconsiders the conditions determining the optimal response of a decision maker in case of stochastic changes in multiplicative risks. In particular, we focus on an optimal portfolio choice where the return of the… read more here.
Keywords: portfolio choice; changes multiplicative; case; multiplicative risks ... See more keywords
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Economic Dynamics and Control"
DOI: 10.1016/j.jedc.2018.05.004
Abstract: We study a continuous time optimal portfolio allocation problem with volatility and co-jump risk, allowing prices, variances and covariances to jump simultaneously. Differently from the traditional approach, we deviate from affine models by specifying a… read more here.
Keywords: jump; volatility; portfolio allocation; optimal portfolio ... See more keywords
Optimal portfolio choice with path dependent benchmarked labor income: A mean field model
Sign Up to like & getrecommendations! Published in 2021 at "Stochastic Processes and their Applications"
DOI: 10.1016/j.spa.2021.11.010
Abstract: We consider the life-cycle optimal portfolio choice problem faced by an agent receiving labor income and allocating her wealth to risky assets and a riskless bond subject to a borrowing constraint. In this paper, to… read more here.
Keywords: labor; optimal portfolio; labor income; portfolio choice ... See more keywords
Challenging the robustness of optimal portfolio investment with moving average-based strategies
Sign Up to like & getrecommendations! Published in 2019 at "Quantitative Finance"
DOI: 10.1080/14697688.2018.1468080
Abstract: The aim of this paper is to compare the performance of a theoretically optimal portfolio with that of a moving average-based strategy in the presence of parameter misspecification. The setting we consider is that of… read more here.
Keywords: average based; investment; challenging robustness; moving average ... See more keywords
Necessary and Sufficient Conditions for Frequency-Based Kelly Optimal Portfolio
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DOI: 10.1109/lcsys.2020.3002214
Abstract: In this letter, we consider a discrete-time portfolio with $m \geq 2$ assets optimization problem which includes the rebalancing frequency as an additional parameter in the maximization. The so-called Kelly Criterion is used as the… read more here.
Keywords: portfolio; kelly optimal; based kelly; inline formula ... See more keywords
An Optimal Portfolio Problem of DC Pension with Input-Delay and Jump-Diffusion Process
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DOI: 10.1155/2020/4343629
Abstract: In this paper, an optimal portfolio control problem of DC pension is studied where the time interval between the implementation of investment behavior and its effectiveness (hereafter input-delay) is particularly focused. There are two assets… read more here.
Keywords: pension; delay; optimal portfolio; input delay ... See more keywords