Search Results - subject:"Dynamic asset allocation"

Does macroeconomic predictability enhance the economic value of hedge funds to risk-averse investors?

Magnani, Monia - 2024

Persistent link: https://www.econbiz.de/10015078360

Dynamic asset allocation and consumption with the indirect utility function

Chibane, Messaoud; Six, Pierre - In: Finance research letters 65 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10014553017

Target-based investment for long-term investors under stochastic volatility

Pelsser, Antoon André Jean; Yang, Li - 2023

Persistent link: https://www.econbiz.de/10014458738

Dynamic Z-score asset allocation to size, value, and industry return shocks

Trainor, William John; Shelley, Gary L. - In: Business and Economic Research : BER 12 (2022) 4, pp. 211-223

Persistent link: https://www.econbiz.de/10013474216

Multi-period portfolio optimization with investor views under regime switching

Oprisor, Razvan; Kwon, Roy - In: Journal of Risk and Financial Management 14 (2021) 1, pp. 1-31

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model's significant advantage is its intuitive and reactive design that incorporates the latest asset return regimes...

Persistent link: https://www.econbiz.de/10012611561

Multi-period portfolio optimization with investor views under regime switching

Oprisor, Razvan; Kwon, Roy - In: Journal of risk and financial management : JRFM 14 (2021) 1/3, pp. 1-31

We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive design that incorporates the latest asset return...

Persistent link: https://www.econbiz.de/10012404153

COVID-19 : data-driven dynamic asset allocation in times of pandemic

Timonina-Farkas, Anna - In: Quantitative finance and economics 5 (2021) 2, pp. 198-227

Persistent link: https://www.econbiz.de/10012591919

A Study on Dynamic Asset Allocation Strategy for Optimal Portfolio Selection

Lee, Hojin - In: East Asian Economic Review (EAER) 25 (2021) 3, pp. 310-336

dynamic asset allocation strategy for optimal portfolio demand. We compare different optimal portfolio demands when investors … dynamic asset allocation strategy when domestic investors in Korea have access to foreign markets. The optimal portfolio … portfolio weights on foreign bonds and domestic stocks are relatively low. We also analyze dynamic asset allocation strategy for …

Persistent link: https://www.econbiz.de/10015397949

A study on dynamic asset allocation strategy for optimal portfolio selection

Lee, Ho Jin - In: East Asian economic review 25 (2021) 3, pp. 310-336

Persistent link: https://www.econbiz.de/10014230446

Defined contribution pension plans: Who has seen the risk?

Forsyth, Peter A.; Vetzal, Kenneth R. - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-27

The trend towards eliminating defined benefit (DB) pension plans in favour of defined contribution (DC) plans implies that increasing numbers of pension plan participants will bear the risk that final realized portfolio values may be insufficient to fund desired retirement cash flows. We compare...

Persistent link: https://www.econbiz.de/10012611128