The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Year of publication: |
2012
|
---|---|
Authors: | Larsen, Linda Sandris ; Munk, Claus |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 36.2012, 2, p. 266-293
|
Subject: | Suboptimal investments | Wealth-equivalent utility loss | Stochastic interest rates | Stochastic volatility | Growth and value stocks | Mean reversion in stock returns | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Theorie | Theory | Börsenkurs | Share price | Zinsrisiko | Interest rate risk | Kapitaleinkommen | Capital income | Zins | Interest rate | Mean Reversion | Mean reversion | Kapitalanlage | Financial investment | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Risikoprämie | Risk premium |
-
Risk management of variable annuities
Ruez, Frederik, (2017)
-
Intermediary-based equity term structure
Li, Kai, (2024)
-
Optimal strategies with option compensation under mean reverting returns or volatilities
Herzel, Stefano, (2019)
- More ...
-
How Do Interest-Only Mortgages Affect Consumption and Saving Over the Life Cycle?
Larsen, Linda Sandris, (2019)
-
Branger, Nicole, (2018)
-
The Design and Welfare Implications of Mandatory Pension Plans
Larsen, Linda Sandris, (2020)
- More ...