optimal portfolio choice model
Optimal Portfolio Choice in a Jump Diffusion Model with Self Exciting
... to model volatility. Af- ter that, there are several works about optimal portfolio selection in a model with OU type processes of ...the portfolio choice problem in a ...
23
Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts
... The model also allows us to quantify the complex interactions of household optimal behavior on work hours, retirement, consumption, and asset allocation ...
41
Ambiguity and optimal portfolio choice with Value-at-Risk constraint
... about model uncertainty has been so important in finance and hence the effects of uncertainty have also been widely studied through a concept of ambiguity ...the model of Gilboa and Schmeidler (1989), who ...
40
Optimal Portfolio Construction by Using Sharpe Single Index Model
... Traditional portfolio theory aims at the selection of securities that would fit in well with the asset preferences, needs and choices of the ...Modern portfolio theory postulates that maximization of ...
9
Optimal life cycle portfolio choice with housing market cycles
... Our model predicts that not only the consumption, the buer-stock saving and the pre- cautionary savings motive inuence household decisions but also a speculation ...our model shows that not only age, labor ...
47
Three Essays on Financial Economics.
... their optimal combination of world equities (given all output is capitalized and can be traded in the form of equities)? One of the most familiar optimal portfolios is derived from the international capital ...
117
Portfolio Choice and Life Insurance
... diffusion model of asset dynamics and utility of consumption, but we are focused in our modeling of labor income and life insurance ...our model is the correlation between innovations to the labor income ...
31
Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
... analyzes optimal portfolio decisions of long-horizon investors with undiversifiable labor income risk and exogenous expected retirement and lifetime ...and portfolio choice and finds that, ...
53
An optimal portfolio, consumption leisure and retirement choice problem with CES utility: a dynamic programming approach
... the model by allowing the leisure rate process to be chosen flexibly, also using the dynamic programming ...agent’s optimal portfolio, consumption and retirement choice, and this is well ...
13
Reserve management and sovereign debt cost in a world with liquidity crises
... we model a contracting game between international lenders and a country, which delivers the country's optimal portfolio choice and the cost of sovereign debt: at equilibrium, the sovereign ...
52
Housing and Portfolio Choice: A Life Cycle Simulation Model
... consider portfolio selection problems in a mean-variance framework at different points over the life cycle and assume an exogenous pattern for the “housing ...their model younger households who show large ...
99
Optimal Life Cycle Portfolio Choice with Variable Annuities Offering Liquidity and Investment Downside Protection
... We integrate a US-type progressive tax system in our model to explore the impact of having access to GMWBs within a qualified (tax sheltered) pension account of the EET type. Here the household must pay taxes on ...
43
Housing, portfolio choice, and the macroeconomy
... “regime-switching” model (similar to Hamilton ...make portfolio adjustments ...make optimal forecasts knowing the current shock and the current value of the capital- labor ...
48
The Effect of Housing on Portfolio Choice
... the optimal design of a wide variety of financial and insurance ...a model that permits home equity wealth and mortgage debt to have different effects on portfolio ...ower portfolio share of ...
45
Portfolio Choice: An Empirical Investigation.
... our model to com- pute the optimal portfolio choice of an infinitely lived investor taking into consideration changes in the growth rate and volatility of ...affect portfolio ...
119
Optimal consumption and portfolio choice with ambiguity
... or model uncertainty has recently attracted a great deal of attention, both in practice, as the sensitivity of many nan- cial decisions with respect to questionable probabilistic assumptions became clear, and in ...
42
A simple model of international capital flows, exchange rate risk, and portfolio choice
... bank, like the domestic investors, can costlessly distinguish the good from the bad entrepreneurs. Freixas and Rochet (1997) establish that the bank can offer domestic depositors an optimal risk-sharing contract. ...
33
Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice
... consumption-portfolio choice problem in continuous time using expected utility maximization when security prices follow diffusion ...non-myopic portfolio strat- egies depend on the investor’s ...
22
How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios
... and portfolio choice ...first model 5 to incorporate the effect of family and marital status risk on portfolio and saving ...Institute’s Model of Income in the Near Term (MINT), he ...
50
Essays on portfolio allocation and derivatives pricing with Lévy processes
... return model can explicitly allow for sudden but infrequent market movements of large magnitude, and thus capture the “skewed” and “fat-tailed” features of stock return ...on portfolio choice, risk ...
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