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 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 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...

This paper explores the problem of an agent who invests in financial assets, works and/or accumulates human capital, and retires at the end of time horizon. His/her initial endowments consist of an amount of liquid assets (maybe because of inheritance) and a number of units of human...

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...

We introduce a model for portfolio selection with an extendable investment universe where the agent faces a trade-off between exploiting existing and exploring for new investment opportunities. An agent with mean-variance preferences starts with an existing investment universe consisting of a...

In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor's portfolio. We used 6 indices as proxies for the major asset classes, including the...