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

Age-dependent robust strategic asset allocation with inflation-deflation hedging demand

Kikuchi, Kentaro; Kusuda, Koji - In: Mathematics and financial economics 18 (2024) 4, pp. 641-670

Persistent link: https://www.econbiz.de/10015189217

Asset allocation under regimes in European economies

Berujon, Sebastien; Lewin, Marcelo; Campani, Carlos Heitor - In: International journal of accounting and finance 12 (2024) 1/2, pp. 47-70

Persistent link: https://www.econbiz.de/10015376411

Strategic asset allocation with distorted beliefs

Chung, San-Lin; Hung, Mao-Wei; Wei, Tzu-Wen; Yeh, Chung-Ying - In: International review of economics & finance : IREF 89 (2024) 2, pp. 804-831

Persistent link: https://www.econbiz.de/10014446818

A century of asset allocation crash risk

Samonov, Mikhail; Sorokina, Nonna - In: The journal of asset management : a major new, … 25 (2024) 4, pp. 383-406

Persistent link: https://www.econbiz.de/10014583491

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