Search Results - subject:"dynamic asset allocation"

Horizon effects that are larger than you think : dynamic allocation with a representative investor

O'Brien, Thomas J. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 39-50

Persistent link: https://www.econbiz.de/10011700673

Dynamic mean variance asset allocation : tests for robustness

Forsyth, Peter; Vetzal, Kenneth R. - In: International journal of financial engineering 4 (2017) 2/3, pp. 1-37

Persistent link: https://www.econbiz.de/10011777889

Tax-aware dynamic asset allocation

Haugh, Martin B.; Iyengar, Garud; Wang, Chun - In: Operations research 64 (2016) 4, pp. 849-866

Persistent link: https://www.econbiz.de/10011538542

Understanding dynamic mean variance asset allocation

Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 254 (2016) 1, pp. 320-337

Persistent link: https://www.econbiz.de/10011503312

Detecting change points in VIX and S&P 500 : a new approach to dynamic asset allocation

Nystrup, Peter; Hansen, Bo William; Madsen, Henrik; … - In: The journal of asset management 17 (2016) 5, pp. 361-374

Persistent link: https://www.econbiz.de/10011634685

Optimal dynamic asset allocation with lower partial moments criteria and affine policies

Calafiore, Giuseppe Carlo - In: International journal of financial engineering and risk … 2 (2015) 2, pp. 87-108

Persistent link: https://www.econbiz.de/10011527489

Liquidity-driven approach to dynamic asset allocation : evidence from the German stock market

Baitinger, Eduard; Fieberg, Christian; Poddig, Thorsten; … - In: Financial markets and portfolio management 29 (2015) 4, pp. 365-379

Persistent link: https://www.econbiz.de/10011444869

Optimal dynamic asset allocation of pension fund in mortality and salary risks framework

Liang, Zongxia; Ma, Ming - In: Insurance / Mathematics & economics 64 (2015), pp. 151-161

Persistent link: https://www.econbiz.de/10011397973

Tracking error with minimum guarantee constraints

Barro, Diana; Canestrelli, Elio - Dipartimento di Matematica Applicata, Università Ca' … - 2008

low interest rate levels on Treasury bonds make it more difficult to meet these liabilities. We formulate a dynamic asset … allocation problem which takes into account the conflicting objectives of a minimum guaranteed return and of an upside capture of …

Persistent link: https://www.econbiz.de/10005700796

Dynamic asset allocation when bequests are luxury goods

Ding, Jie; Kingston, Geoffrey; Purcal, Sachi - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 65-71

Luxury bequests impart systematic effects of age to an investor's optimal allocation: the expected percentage allocation to equities rises throughout retirement. When bequests are luxuries the marginal utility of bequests declines more slowly than the marginal utility of consumption. This is...

Persistent link: https://www.econbiz.de/10010871059