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Closed-form portfolio optimization under GARCH models

Escobar, Marcos; Gollart, Maximilian; Zagst, Rudi - In: Operations research perspectives 9 (2022), pp. 1-13

This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the expected utility from terminal wealth under a...

Persistent link: https://www.econbiz.de/10012880259

Optimal additional voluntary contribution in DC pension schemes to manage inadequacy risk

Ferreira Morici, Henrique; Vigna, Elena - 2023

Persistent link: https://www.econbiz.de/10014429750

Trading under the proof-of-stake protocol : a continuous-time control approach

Tang, Wenpin; Yao, David D. - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 979-1004

Persistent link: https://www.econbiz.de/10014370605

The role of options in goals-based wealth management

Das, Sanjiv R.; Ross, Greg - In: Journal of investment management : JOIM 21 (2023) 1, pp. 52-80

Persistent link: https://www.econbiz.de/10014371997

Optimal consumption and investment with independent stochastic labor income

Bensoussan, Alain; Park, Seyoung - In: Mathematics of operations research 50 (2025) 1, pp. 356-389

Persistent link: https://www.econbiz.de/10015211707

A continuous time framework for sequential goal-based wealth management

Capponi, Agostino; Zhang, Yuchong - In: Management science : journal of the Institute for … 70 (2024) 11, pp. 7664-7691

Persistent link: https://www.econbiz.de/10015144290

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

Portfolio optimization under partial information with expert opinions

Frey, Rüdiger; Gabih, Abdelali; Wunderlich, Ralf - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-18

Persistent link: https://www.econbiz.de/10009562133

An explicit solution of a nonlinear-quadratic constrained stochastic control problem with jumps : optimal liquidation in dark pools with adverse selection

Kratz, Peter - In: Mathematics of operations research 39 (2014) 4, pp. 1198-1220

Persistent link: https://www.econbiz.de/10010462146

Rectangular sets of probability measures

Shapiro, Alexander - In: Operations research 64 (2016) 2, pp. 528-541

Persistent link: https://www.econbiz.de/10011485624