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Time Consistent vs. Time Inconsistent Dynamic Asset Allocation : Some Utility Cost Calculations for Mean Variance Preferences

Lioui, Abraham - 2011

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/10013118906

Managing with or without a manager?

Lioui, Abraham - 1995

Persistent link: https://www.econbiz.de/10000931727

Valuation of variance forecasts with simulated option markets

Engle, Robert F.; Hong, Che-hsiung T.; Kane, Alex - 1990

Persistent link: https://www.econbiz.de/10000790825

The valuation of security analysis

Kane, Alex; Marcus, Alan J. - 1986

Persistent link: https://www.econbiz.de/10000712444

Optimal dynamic hedging in incomplete futures markets

Lioui, Abraham - In: The Geneva papers on risk and insurance theory 21 (1996) 1, pp. 103-122

Persistent link: https://www.econbiz.de/10001334890

The delivery of market timing services : newsletters versus market timing funds

Kane, Alex - In: Journal of financial intermediation 1 (1990) 2, pp. 150-166

Persistent link: https://www.econbiz.de/10001102551

Optimal spreading when spreading is optimal

Lioui, Abraham - In: Journal of economic dynamics & control 23 (1998) 2, pp. 277-301

Persistent link: https://www.econbiz.de/10001252613

How much should you pay your portfolio manager?

Lioui, Abraham - 1995

Persistent link: https://www.econbiz.de/10000931720

A new approach to the agency relationship in portfolio delegation

Lioui, Abraham - 1995

Persistent link: https://www.econbiz.de/10000931723

Marketing-to-market and the demand for interest rate futures contracts

Lioui, Abraham - In: The journal of futures markets 17 (1997) 3, pp. 303-316

Persistent link: https://www.econbiz.de/10001221316

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