I introduce a method of portfolio selection based on the idea that investment risk is not having enough wealth when you need it. Not having enough wealth translates into a required return. When you need wealth translates into an investment horizon. These two ingredients, when combined with...

This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with recursive preferences. The investor worries about model misspecification and seeks robust decision rules. The expected excess return of a risky asset follows a mean-reverting...

We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of more than 100,000 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased...

We study the interplay between tenure decisions, stock market investment and the public social security system. Housing equity not only serves a dual purpose as a consumption good and as an asset, but also provides insurance to buffer various risks in retirement. Our life cycle model captures...

Purpose: This article deals with the retail investors' decision-making under risk, firstly addressing several theories of decision-making under risk. Following this theoretical framework, an analysis on investment strategies on the Croatian capital market has been conducted....

This paper investigates tactical investment strategies for investors to survive financial crises. Compared with the buy-and-hold strategy, the buy-and-sell strategy is much more effective in mitigating downside risk before, during, and after a crisis by restricting the left-tail volatility of...

We study a classical continuous-time consumption-investment problem of a power utility investor with deterministic labor income with the important feature that the consumption-investment process is constrained to be deterministic. This is motivated by the design of modern pension schemes of...

We consider dynamic asset allocation problems where the agent is required to pay capital gains taxes on her investment gains. This is a very challenging problem because the tax owed whenever a security is sold depends on the cost-basis, i.e. the price(s) at which the shares of the security was...

This study presents a survey on the current methodologies employed in the asset allocation industry. We review techniques from Modern Portfolio Theory and focus on the central role of the mean-variance optimization problem. The formalism of the Black-Litterman model is discussed with its...

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called probability of drawdown, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its maximum value to date. We assume that the portfolio is...