Search Results - subject:"Dynamic portfolio"

Understanding portfolio efficiency with conditioning information

Peñaranda, Francisco - London School of Economics (LSE) - 2009

Contrary to the classic framework of passive strategies, if investors exploit return predictability through active strategies then there is a tension between the mean-variance frontiers that drive empirical work and the mean-variance preferences that are used in finance theory. We show that...

Persistent link: https://www.econbiz.de/10011071262

Asset Markets and Monetary Policy

Platen, Eckhard; Semmler, Willi - Finance Discipline Group, Business School - 2009

and its financial market. The paper suggests a dynamic portfolio approach. It allows one to study the interaction between …

Persistent link: https://www.econbiz.de/10004984475

Portfolio Symmetry and Momentum.

Billio, Monica; Calès, Ludovic; Guegan, Dominique - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the …. It permits us to model the evolution of a dynamic portfolio as a stochastic process in the set of the investable … portfolios. Our first model for the evolution of a dynamic portfolio is a random walk on the graph corresponding to the …

Persistent link: https://www.econbiz.de/10005012512

Understanding portfolio efficiency with conditioning information

Peñaranda, Francisco - Department of Economics and Business, Universitat … - 2009

We show that unconditionally efficient returns do not achieve the maximum unconditional Sharpe ratio, neither display zero unconditional Jensen’s alphas, when returns are predictable. Next, we define a new type of efficient returns that is characterized by those unconditional properties. We...

Persistent link: https://www.econbiz.de/10005827435

Portfolio Symmetry and Momentum

Billio, Monica; Calès, Ludovic; Guégan, Dominique - Dipartimento di Economia, Università Ca' Foscari Venezia - 2009

Persistent link: https://www.econbiz.de/10005113392

Portfolio management with minimum guarantees: some modeling and optimization issues

Barro, Diana; Canestrelli, Elio - Dipartimento di Matematica Applicata, Università Ca' … - 2009

In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the …

Persistent link: https://www.econbiz.de/10008458449

Solving Dynamic Programming Problems on a Computational Grid

Cai, Yongyang; Judd, Kenneth; Thain, Greg; Wright, Stephen - In: Computational Economics 45 (2015) 2, pp. 261-284

problems of two kinds: optimal growth problems and dynamic portfolio problems. We present examples that solve in hours on …

Persistent link: https://www.econbiz.de/10011155112

Optimal life cycle portfolio choice with variable annuities offering liquidity and investment downside protection

Horneff, Vanya; Maurer, Raimond; Mitchell, Olivia S.; … - In: Insurance / Mathematics & economics 63 (2015), pp. 91-107

Persistent link: https://www.econbiz.de/10011349847

Solving dynamic programming problems on a computational grid

Cai, Yongyang; Judd, Kenneth L.; Thain, Greg; Wright, … - In: Computational economics 45 (2015) 2, pp. 261-284

Persistent link: https://www.econbiz.de/10011325717

An adaptively managed dynamic portfolio selection model using a time-varying investment target according to the market forecast

Jung, Jongbin; Kim, Seongmoon - In: Journal of the Operational Research Society : OR 66 (2015) 7, pp. 1115-1131

Persistent link: https://www.econbiz.de/10011403704