In this work we solve in a closed form the problem of an agent who wants to optimise the inter-temporal utility of both his consumption and leisure by choosing: (i) the optimal inter-temporal consumption, (ii) the optimal inter-temporal labour supply, (iii) the optimal share of wealth to invest...

This paper presents a novel risk-based approach for an optimal asset allocation problem with default risk, where a money market account, an ordinary share and a defaultable security are investment opportunities in a general non-Markovian economy incorporating random market parameters. The...

Asset allocation is a critical concern for any investor in the financial market. This paper aims to prioritize five randomly selected firms from the top ten stocks by market capitalization of the Shanghai Stock Exchange (SSE) by opting for adequate financial procedures and practical criteria...

Macro-based asset allocation, i.e., the identification of turning points in macro-financial cycles and the allocation of assets accordingly, has attracted a lot of interest in recent years. This interest was sparked by volatile financial markets, more synchronized returns across asset classes...

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

This paper examines the effect of gainsharing provisions on the selection of a discount rate for a defined benefit pension plan. The paper uses a traditional actuarial approach of discounting liabilities using the expected return of the associated pension fund. A stochastic Excel model was...

A four period game between two firms and two hackers is analyzed. The firms first defend and the hackers thereafter attack and share information. Each hacker seeks financial gain, beneficial information exchange, and reputation gain. The two hackers’ attacks and the firms’ defenses are...

Accumulated imbalances in the economy and on the markets cause specific financial market dynamics that have formed characteristic patterns kept throughout long financial history. In 2008 Authors presented their expectations of key macroeconomic and selected asset class markets developments for...

This paper studies the impact of major ECB monetary policy announcements on the portfolio allocation of euro area fund investors, using daily data between 2012 and mid-2016, a period that includes a variety of unconventional measures. We distinguish between active portfolio reallocation, driven...

Deriving an optimal asset allocation for institutional investors hinges crucially on the quality of inputs used in the optimization. If the mean vector and the covariance matrix are known with certainty, the classical mean-variance optimization of Markowitz (1952) produces optimal portfolios....