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Abstract, Classic, and Explicit Turnpikes
Guasoni, Paolo - 2012
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payo ffs and...
Persistent link: https://www.econbiz.de/10013115102
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Abstract, classic, and explicit turnpikes
Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; … - In: Finance and Stochastics 18 (2014) 1, pp. 75-114
Portfolio turnpikes state that as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and...
Persistent link: https://www.econbiz.de/10010728115
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Abstract, Classic, and Explicit Turnpikes
Guasoni, Paolo; Kardaras, Constantinos; Robertson, Scott; … - arXiv.org - 2011
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kinds of turnpikes. In a general semimartingale setting, the abstract turnpike states that optimal final payoffs and...
Persistent link: https://www.econbiz.de/10008784569
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Strict local martingale deflators and valuing American call-type options
Bayraktar, Erhan; Kardaras, Constantinos; Xing, Hao - In: Finance and stochastics 16 (2012) 2, pp. 275-291
Persistent link: https://www.econbiz.de/10009544667
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Robust portfolios and weak incentives in long-run investments
Guasoni, Paolo; Muhle-Karbe, Johannes; Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 3-37
Persistent link: https://www.econbiz.de/10011739438
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Continuous-time perpetuities and time reversal of diffusions
Kardaras, Constantinos; Robertson, Scott - In: Finance and stochastics 21 (2017) 1, pp. 65-110
Persistent link: https://www.econbiz.de/10011944065
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Static fund separation of long-term investments
Guasoni, Paolo; Robertson, Scott - In: Mathematical finance : an international journal of … 25 (2015) 4, pp. 789-826
Persistent link: https://www.econbiz.de/10011350513
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Consumption-investment optimization with Epstein-Zin utility in incomplete markets
Xing, Hao - In: Finance and stochastics 21 (2017) 1, pp. 227-262
Persistent link: https://www.econbiz.de/10011944363
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Stability of the exponential utility maximization problem with respect to preferences
Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 38-67
Persistent link: https://www.econbiz.de/10011739439
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Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
Bayraktar, Erhan; Xing, Hao - In: Mathematical methods of operations research 70 (2009) 3, pp. 505-525
Persistent link: https://www.econbiz.de/10003909291