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Robust Consumption and Portfolio Choice for Time Varying Investment Opportunities
Liu, Hening - 2010
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...
Persistent link: https://www.econbiz.de/10013151564
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Financial Investment and Human Capital During Life Cycle
Anastasopoulos, Anastasios - 2018
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...
Persistent link: https://www.econbiz.de/10012937948
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Investment Horizon and Portfolio Selection
Tarlie, Martin - 2017
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...
Persistent link: https://www.econbiz.de/10012967761
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Ambiguity and investor behavior
Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline - 2020
We relate time-varying aggregate ambiguity (V-VSTOXX) to individual investor trading. We use the trading records of … an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …-taking which does not reverse over the following days. When ambiguity is high, the effect of sentiment looms larger. Survey …
Persistent link: https://www.econbiz.de/10012387918
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Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
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Consumption, Investment and Life Insurance Strategies with Heterogeneous Discounting
de Paz, Albert - 2012
In this paper we analyze how the optimal consumption, investment and life insurance rules are modified by the introduction of a class of time-inconsistent preferences. In particular, we account for the fact that an agent's preferences evolve along the planning horizon according to her increasing...
Persistent link: https://www.econbiz.de/10013108842
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Event Risks, Illiquidity, and Portfolio Selection
Liu, Hong - 2009
The most recent financial crisis highlights the importance of event risks and the ensuing market illiquidity and worsening investment opportunity set for optimal portfolio selection. However, the existing portfolio selection literature does not consider the joint impact of these risks. In this...
Persistent link: https://www.econbiz.de/10013153116
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Around the Life-Cycle : Deterministic Consumption-Investment Strategies
Christiansen, Marcus Christian - 2016
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...
Persistent link: https://www.econbiz.de/10013006602
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Tax-Aware Dynamic Asset Allocation
Haugh, Martin Brendan - 2016
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...
Persistent link: https://www.econbiz.de/10013006855
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Optimal Asset Allocation Strategies
Stefanescu, Razvan - 2016
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...
Persistent link: https://www.econbiz.de/10012988090