Solve the optimal portfolio choice problem
Optimal Portfolio Choice in a Jump Diffusion Model with Self Exciting
... We solve the optimal portfolio choice problem for an investor who can trade a risk-free asset and a risky ...timal portfolio by maximizing expectation of a constant relative risk ...
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Optimal Portfolio Choice with Annuitization
... annuity choice on the investor’s investment strategy before retirement for the same configuration of parameters as ...annuity choice made at ...the optimal conditional annuitization strategy (Panel ...
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Optimal consumption and portfolio choice with ambiguity
... While explicit results are dicult to obtain under Knightian uncertainty in general, we are here able to solve completely the ambiguityaverse in- vestor's optimal consumptionportfolio problem. In a ...
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Illiquid Assets and Optimal Portfolio Choice
... the problem of portfolio ...the problem of optimal asset allocation and consumption in a continuous time model when one asset cannot be ...the optimal allocations to the two liquid ...
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Correlation risk and optimal portfolio choice
... C.2 Portfolio Constraints Portfolio constraints are useful to avoid unrealistic portfolio weights, which can potentially arise due to some extreme assumptions on expected returns, volatilities, and ...
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Optimal Portfolio Choice and Investment in Education
... and portfolio choice either ignore the exis- tence of human capital or treat it as ...and portfolio choice can yield important insights into how such decisions are made (or should be ...(1978) ...
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The Standard Portfolio Choice Problem in Germany
... standard portfolio choice problem, allocating a őxed budget between a safe and a risky ...standard portfolio choice problem is widely viewed as capturing one of the main ...
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On the Effect of Premia and Penalties on the Optimal Portfolio Choice
... standard portfolio choice between a risky and a safe asset, we study the effect of imposing premia and penalties conditional on the realized return of the portfolio meeting a given ...the ...
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Using Markov Decision Processes to Solve a Portfolio Allocation Problem
... Figure 3.6 shows the results of cumulative expected reward for the three different policies. This is the true test to see which policy is optimal since it was optimized on rewards given from the model. We see the ...
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An optimal portfolio, consumption leisure and retirement choice problem with CES utility: a dynamic programming approach
... an optimal portfolio, consumption-leisure and retirement choice problem for an infinitely lived economic agent with a CES utility ...and optimal investment, consumption, leisure, and ...
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The current account as a dynamic portfolio choice problem
... of optimal portfolio shares does not change considerably with the relative risk aversion parameter, the average values of t *, H and t F are highly sensitive to this ...individual portfolio ...
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Ambiguity and optimal portfolio choice with Value-at-Risk constraint
... of optimal portfolio choice that integrates two main motives: a portfolio constraint driven by the presence of a Value-at-Risk (VaR) constraint and ambiguity (or model uncertainty) about ...
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Optimal Portfolio Choice in Retirement with Participating Life Annuities
... The literature on participating life insurance contracts is extensive. 1 Most studies concentrate on actuarial risk analysis for and financial pricing of the guarantees embedded in these products (e.g. Briys/de Varenne, ...
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Using Surrogate Information to Solve Multidimensional Multi choice Knapsack Problem
... agement problem in computer networks and the admission control problem in the adaptive multimedia systems ...to solve the MMKP which con- vergence is independent of the initial ...
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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
... optimization problem. In order to estimate the expected portfolio return, the Mean–Variance methodology uses historical data on the assumption that the sample mean is a true rep- resentation of the ...
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Optimal Portfolio Choice under Decision-Based Model Combinations
... 7.2 Forecasting industry portfolios We conclude our empirical analysis by investigating the performance of the CER-based DeCo scheme with a number of industry portfolios. While there is a vast literature examining the ...
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Optimal Portfolio Choice over the Life Cycle with Social Security
... of portfolio allocation over the ...the optimal portfolio actually reverses direction (creating a "M" like shape) as social security, which is a safe annuity, becomes a larger fraction of ...
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Essays on Bank Optimal Portfolio Choice under Liquidity Constraint
... CHAPTER I INTRODUCTION Banks finance short-term from the public and invest to project holders considerably long-term. The miss-match of maturities between banks liabilities and assets is a good topic of many researchers ...
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Optimal life cycle portfolio choice with housing market cycles
... of portfolio choice literature assumes it is given and developed a sizable number of advanced portfolio choice models to account for ...
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Optimal Portfolio Choice with Annuities and Life Insurance for Retired Couples
... the optimal asset allocation and consumption policy for a retired couple with uncertain lifetime, possible pre-existing annuity income, and a potential bequest ...the optimal survivor benefit ratio of joint ...
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