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On optimal portfolio choice under stochastic interest rates

Lioui, Abraham; Poncet, Patrice - In: Journal of Economic Dynamics and Control 25 (2001) 11, pp. 1841-1865

Persistent link: https://www.econbiz.de/10005021393

Optimal spreading when spreading is optimal

Lioui, Abraham; Eldor, Rafael - In: Journal of Economic Dynamics and Control 23 (1998) 2, pp. 277-301

Persistent link: https://www.econbiz.de/10005229334

Dynamic asset pricing with non-redundant forwards

Lioui, Abraham; Poncet, Patrice - In: Journal of Economic Dynamics and Control 27 (2003) 7, pp. 1163-1180

Persistent link: https://www.econbiz.de/10005229465

The asset allocation puzzle is still a puzzle

Lioui, Abraham - In: Journal of Economic Dynamics and Control 31 (2007) 4, pp. 1185-1216

Persistent link: https://www.econbiz.de/10005160968

Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth

Lioui, Abraham; Poncet, Patrice - In: Journal of Economic Dynamics and Control 20 (1996) 6-7, pp. 1101-1113

Persistent link: https://www.econbiz.de/10005205189

Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences

Lioui, Abraham - In: Journal of Economic Dynamics and Control 37 (2013) 5, pp. 1066-1096

We solve for the time consistent dynamic asset allocation of an investor with a mean variance objective function in a multiple assets affine setting. We use as a benchmark the pre-commitment strategy widely used in the literature and assess the potential welfare gains from pre-commitment by...

Persistent link: https://www.econbiz.de/10010636439