We compute the optimal dynamic asset allocation policy for a retiree with Epstein-Zin utility. The retiree can decide …

-investment portfolio of nominal Treasury bonds and the nominal money market account. In the second essay, I solve the dynamic asset … allocation problem of finite lived, constant relative risk averse investors who face inflation risk and can invest in cash, nominal …

‐of‐sample dynamic asset allocation among three broad based indexes (equity, fixed income and commodities) and a risk free asset, is … rigorous dynamic asset allocation model. Practical implications – Besides the benefit of a clear mandate to construct suitable … asset allocation implementation. Findings – Over a test period of the past 20 years (1992‐2011), a risk‐based out …

-of-sample dynamic asset allocation among three broad based indexes (equity, fixed income and commodities) and a risk free asset, is … rigorous dynamic asset allocation model. Practical implications – Besides the benefit of a clear mandate to construct suitable … asset allocation implementation. Findings – Over a test period of the past 20 years (1992-2011), a risk-based out …

We solve for the time consistent dynamic asset allocation of an investor with a mean variance objective function in a …

In this paper, we study the optimal dynamic asset allocation strategy for the ELA scheme of DC pension plan during the … establish the optimal dynamic asset allocation strategy by stochastic dynamic programming method. We obtain the optimal dynamic … asset allocation proportions. We formalize the problem into a continuous-time stochastic optimal control problem and …

calculation process for explicitly deriving the dynamic portfolio frontier and the corresponding dynamic asset allocation. Finally …