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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

Persistent link: https://www.econbiz.de/10001218920

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

Homeownership as a constraint on asset allocation

Cauley, Stephen Day; Pavlov, Andrey D.; Schwartz, Eduardo S. - In: The journal of real estate finance and economics 34 (2007) 3, pp. 283-311

Persistent link: https://www.econbiz.de/10003491276

Illiquid assets and optimal portfolio choice

Schwartz, Eduardo S.; Tebaldi, Claudio - 2006

Persistent link: https://www.econbiz.de/10003389585

Stable non-Gaussian models for credit risk management

Martin, Bernhard; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 405-441). 2003

Persistent link: https://www.econbiz.de/10001882167

Asset liability management : a review and some new results in the presence of heavy tails

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003

Persistent link: https://www.econbiz.de/10001882195

Portfolio choice theory with non-Gaussian distributed returns

Ortobelli, Sergio; Huber, Isabella; Račev, Svetlozar T.; … - In: Handbook of heavy tailed distributions in finance, (pp. 547-594). 2003

Persistent link: https://www.econbiz.de/10001882197

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