Similar Search Results

Consumption-Portfolio Optimization with Recursive Utility in Incomplete Markets

Kraft, Holger - 2011

In an incomplete market we study the optimal consumption-portfolio decision of an investor with recursive preferences of Epstein-Zin type. Applying a classical dynamic programming approach, we formulate the associated Hamilton-Jacobi-Bellman equation and provide a suitable verification theorem....

Persistent link: https://www.econbiz.de/10013133474

Portfolio Optimization with Higher-Order Stochastic Dominance Constraints

Fang, Yi - 2019

A framework is developed for portfolio optimization with higher-order Stochastic Dominance constraints. A finite system of restrictions on the lower partial moments can be used for evaluating the efficiency of a given benchmark and for constructing enhanced portfolios which dominate the...

Persistent link: https://www.econbiz.de/10012871881

Portfolio Optimization with DARA Stochastic Dominance Constraints

Kopa, Milos - 2018

An optimization method is developed for constructing investment portfolios which stochastically dominate a given benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data sets of historical returns of equity price reversal...

Persistent link: https://www.econbiz.de/10012932280

Consumption Investment Optimization with Epstein-Zin Utility in Incomplete Markets

Xing, Hao - 2015

with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and … backward stochastic differential equations. The supperdifferential of indirect utility is also obtained, meeting demands from … applications in which Epstein-Zin utilities were used to resolve several asset pricing puzzles. The empirically relevant utility …

Persistent link: https://www.econbiz.de/10013030017

Alternative Objective Functions for Quasi-Shrinkage Portfolio Optimization

Guettler, Andre; Trübenbach, Fabian - 2011

In this paper we propose a quasi-shrinkage approach for minimum-variance portfolios which does not use a quadratic loss function to derive the optimal shrinkage intensity. We develop two alternative objective functions for linear shrinkage. The first targets the reduction of portfolio variance....

Persistent link: https://www.econbiz.de/10014196794

Computing Discrete Expected Utility Maximizing Portfolios

Drewes, Sarah - 2014

Maximizing the expected logarithmic utility, or equivalently the geometric mean, of a portfolio is a well-known yet … continuous variable is inappropriate. We will focus on how to solve the utility maximization problem in the presence of discrete … experiment conducted for the German stock market. Our approach generalizes to other utility functions satisfying some mild …

Persistent link: https://www.econbiz.de/10013069390

LQG for Portfolio Optimization

Abeille, Marc - 2016

We introduce a generic solver for dynamic portfolio allocation problems when the market exhibits return predictability, price impact and partial observability. We assume that the price modeling can be encoded into a linear state-space and we demonstrate how the problem then falls into the LQG...

Persistent link: https://www.econbiz.de/10012980026

Linear Algorithm for Portfolio Optimization with Third-Order Stochastic Dominance

Fang, Yi - 2018

We propose a novel linear approximation of expected utility. The approximation guides us as we transfer the traditional …

Persistent link: https://www.econbiz.de/10012911538

Chapter 8. Advances in Numerical Dynamic Programming and New Applications

Cai, Yongyang; Judd, Kenneth L. - In: Handbook of computational economics : volume 3, (pp. 479-516). 2014

Dynamic programming is the essential tool in dynamic economic analysis. Problems such as portfolio allocation for individuals and optimal economic growth are typical examples. Numerical methods typically approximate the value function. Recent work has focused on making numerical methods more...

Persistent link: https://www.econbiz.de/10014025714

Stochastic spanning

Arvanitis, Stelios; Hallam, Mark; Post, Thierry - 2015

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing …

Persistent link: https://www.econbiz.de/10010512497