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An explicit solution for a portfolio selection problem with stochastic volatility
Sandjo, Albert Nana; Colin, Fabrice; Moutari, Salissou - In: Journal of mathematical finance 7 (2017) 1, pp. 199-218
Persistent link: https://www.econbiz.de/10011658467
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Adding risks : some general results about time diversification
Lam, Kin; Zou, Liang - 2000
We show in general that risky investments become more attractive asthe investment horizon (n) lengthens.Specifically, any investor's maximal expected utility directlyincreases with n, as well as the investor's willingness toallocate more capital to the risky assets if his optimal strategy...
Persistent link: https://www.econbiz.de/10011303869
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Robust irreversible investment strategy with ambiguity to jump and diffusion risk
Li, Shuang; Wang, Haijun - In: International review of finance : the official journal … 23 (2023) 3, pp. 645-665
Persistent link: https://www.econbiz.de/10014368442
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A polynomial-affine approximation for dynamic portfolio choice
Zhu, Yichen; Escobar, Marcos; Davison, Matt - In: Computational economics 62 (2023) 3, pp. 1177-1213
Persistent link: https://www.econbiz.de/10014382894
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Price of climate risk hedging under uncertainty
Rubtsov, Alexey; Xu, Wei; Šević, Aleksandar; Šević, … - In: Technological forecasting & social change : an … 165 (2021), pp. 1-10
Persistent link: https://www.econbiz.de/10012671618
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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
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Volatility versus downside risk : performance protection in dynamic portfolio strategies
Barro, Diana; Canestrelli, Elio; Consigli, Giorgio - In: Computational Management Science : CMS 16 (2019) 3, pp. 433-479
Persistent link: https://www.econbiz.de/10012053148
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Portfolio optimization under a quantile hedging constraint
Bouveret, Géraldine - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-36
Persistent link: https://www.econbiz.de/10011956927
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Has dynamic programming improved decision making?
Rust, John - In: Annual review of economics 11 (2019), pp. 833-858
Persistent link: https://www.econbiz.de/10012623842
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Bayesian sequential learning for clinical trials of multiple correlated medical interventions
Chick, Stephen E.; Gans, Noah; Yapar, Ozge - 2020 - Revised version of 2018/20/TOM/ACGRE
Persistent link: https://www.econbiz.de/10012299936