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Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Risk and portfolio choices in individual and collective pension plans

Jong, Frank de; Pelsser, Antoon André Jean - In: Ageing, health and pensions in Europe : an economic and …, (pp. 64-66). 2010

Persistent link: https://www.econbiz.de/10008906994

Risk and portfolio choices in individual and collective pension plans

Gollier, Christian - In: Ageing, health and pensions in Europe : an economic and …, (pp. 43-63). 2010

Persistent link: https://www.econbiz.de/10008906995

Portfolio selection by mutual insurance companies and optimal participating insurance policies

Gollier, Christian - In: Insurance / Mathematics & economics 11 (1992) 3, pp. 237-245

Persistent link: https://www.econbiz.de/10001134245

On the inefficiency of bang-bang and stop-loss portfolio strategies

Gollier, Christian - In: Journal of risk and uncertainty : JRU 14 (1997) 2, pp. 143-154

Persistent link: https://www.econbiz.de/10001223436

Effiziente Value-at-Risk-Berechnung für Rentenportfolios

Zagst, Rudi - In: Finanzmarkt und Portfolio-Management 11 (1997) 2, pp. 165-178

Persistent link: https://www.econbiz.de/10001227919

Investment flexibility and the acceptance of risk

Gollier, Christian - In: Journal of economic theory 76 (1997) 2, pp. 219-241

Persistent link: https://www.econbiz.de/10001229237

A model of comparative statics for changes in stochastic returns with dependent risky assets

Dionne, Georges - In: Journal of risk and uncertainty : JRU 13 (1996) 2, pp. 147-162

Persistent link: https://www.econbiz.de/10001208950

Portfolio choice under noisy asset returns

Gollier, Christian - In: Economics letters 53 (1996) 1, pp. 47-51

Persistent link: https://www.econbiz.de/10001212276

The comparative statics of changes in risk revisited

Gollier, Christian - In: Journal of economic theory 66 (1995) 2, pp. 522-535

Persistent link: https://www.econbiz.de/10001187129

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