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Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375

Persistent link: https://www.econbiz.de/10012262741

Shortfall risk minimization under fixed transaction costs

Nayman, Niv - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-29

Persistent link: https://www.econbiz.de/10011903790

Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026

Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market

Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186

Persistent link: https://www.econbiz.de/10012118960

A defined benefit pension plan model with stochastic salary and heterogeneous discounting

Josa-Fombellida, Ricardo; López-Casado, Paula; Navas, Jorge - In: ASTIN bulletin : the journal of the International … 53 (2023) 1, pp. 62-83

Persistent link: https://www.econbiz.de/10014247641

Sustainability in a Risky World

Campbell, John Y.; Martin, Ian - National Bureau of Economic Research - 2021

We view sustainability as a requirement that welfare should not be expected to decline over time. We impose this … requirement as a prior constraint on the consumption-savings-investment problem, and study its implications for saving, risky …

Persistent link: https://www.econbiz.de/10012585383

Sustainability in a risky world

Campbell, John Y.; Martin, Ian - 2021 - First draft: March 2021

Persistent link: https://www.econbiz.de/10012534831

Asset pricing and default risk

Breig, Christoph - 2011

Persistent link: https://www.econbiz.de/10008779050

Stock market timing with entropy

Efremidze, Levan; Stanley, Darrol J.; Kinsman, Michael D. - In: The journal of wealth management 18 (2015/16) 3, pp. 57-67

Persistent link: https://www.econbiz.de/10011398072