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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

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

Lioui, Abraham - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1066-1096

Persistent link: https://www.econbiz.de/10009738267

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

Understanding dynamic mean variance asset allocation

Lioui, Abraham; Poncet, Patrice - In: European journal of operational research : EJOR 254 (2016) 1, pp. 320-337

Persistent link: https://www.econbiz.de/10011503312

Factor investing for the long run

Lioui, Abraham; Tarelli, Andrea - In: Journal of economic dynamics & control 117 (2020), pp. 1-31

Persistent link: https://www.econbiz.de/10012503351