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We study the behavior of the optimal portfolio policy of a long-run investor in markets with stationary investment opportunity sets. We provide conditions on the utility function, for large wealth levels, which are sufficient for the optimal portfolio policy to approximate, as the trading...
Persistent link: https://www.econbiz.de/10005390672
We study a class of stochastic optimization models of expected utility in markets with stochastically changing investment opportunities. The prices of the primitive assets are modelled as diffusion processes whose coefficients evolve according to correlated diffusion factors. Under certain...
Persistent link: https://www.econbiz.de/10005390736
We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...
Persistent link: https://www.econbiz.de/10010847653
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...
Persistent link: https://www.econbiz.de/10010990707
We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...
Persistent link: https://www.econbiz.de/10010950074
The new notion of maturity-independent risk measures is introduced and contrasted with the existing risk measurement concepts. It is shown, by means of two examples, one set on a finite probability space and the other in a diffusion framework, that, surprisingly, some of the widely utilized risk...
Persistent link: https://www.econbiz.de/10005098945