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Keep it Simple : Dynamic Bond Portfolios Under Parameter Uncertainty

Feldhütter, Peter - 2012

We empirically investigate the importance of parameter uncertainty to bond investors. Using a Bayesian approach, we quantify the expected utility loss due to parameter uncertainty from following seemingly optimal dynamic portfolio strategies. Expected utility losses are increasing in the number...

Persistent link: https://www.econbiz.de/10013109502

Options and portfolio insurance

Schwartz, Eduardo S. - In: Finanzmarkt und Portfolio-Management 1 (1986) 1, pp. 9-17

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LYON taming

McConnell, John J. - In: The journal of finance : the journal of the American … 41 (1986) 3, pp. 561-576

Persistent link: https://www.econbiz.de/10001047828

Valuing debt options : empir. evidence

Dietrich-Campbell, Bruce - In: Journal of financial economics 16 (1986) 3, pp. 321-343

Persistent link: https://www.econbiz.de/10001015146

Strategic asset allocation

Brennan, Michael J. - In: Journal of economic dynamics & control 21 (1997) 8, pp. 1377-1403

Persistent link: https://www.econbiz.de/10001222043

Portfolio insurance and financial market equilibrium

Brennan, Michael J. - In: The journal of business : B 62 (1989) 4, pp. 455-472

Persistent link: https://www.econbiz.de/10001079388

Time-invariant portfolio insurance strategies

Brennan, Michael J. - In: The journal of finance : the journal of the American … 43 (1988) 2, pp. 283-299

Persistent link: https://www.econbiz.de/10001059369

The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969

Persistent link: https://www.econbiz.de/10001734458

Value-at-risk and asset allocation with stable return distributions

Mittnik, Stefan; Rachev{{}}, Svetlozar; Schwartz, Eduardo S. - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 53-67

Persistent link: https://www.econbiz.de/10001650467

The impact of fat tailed returns on asset allocation

Tokat, Yesim; Schwartz, Eduardo S. - In: Mathematical methods of operations research 55 (2002) 2, pp. 165-185

Persistent link: https://www.econbiz.de/10001678009