The optimal portfolio problem
Correlation risk and optimal portfolio choice
... intertemporal portfolio choice under a stochastic variance-covariance ...and optimal portfolio strategies include distinct hedging components against volatility and correlation ...the optimal ...
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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 Contracts in a Continuous-Time Delegated Portfolio Management Problem
... 1 2 N i=1 k i tA 2 i as a special case when kt is a diagonal matrix with k ii t = k i and = 0. This special cost function is widely used in standard moral hazard problems where At denotes the agent’s effort vector. ...
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Optimal stopping investment in a logarithmic utility-based portfolio selection problem
... the portfolio in the drift and volatility terms. The problem is formulated as an optimal stopping problem, although it is non-standard in the sense that the maximum wealth involved is not ...
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Comonotic approximations for a generalized provisioning problem with application to optimal portfolio selection.
... As illustrated in Section 2.3, this lower bound approximation is in general signi…cantly more accurate than the upper bound. Assuming m = 5, the results of our optimization for different values of are given in Table 1. ...
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A state-constrained stochastic optimal control problem arising in portfolio liquidation
... control problem, exponential growth utility and Hamilton-Jacobi-Bellman equation with singularity functions make use of the Dol´ eans-Dade exponential combined with the martin- gale property, as a common change of ...
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Computing the optimal portfolio policy of an investor facing capital gains tax is a challenging problem:
... The only circumstance under which an investor may hold shares with two different tax bases is when the stock price goes down, and she holds shares with a tax basis lower than the current stock price. In the presence of ...
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The mean-variance optimal portfolio
... Unlike the resampling technique, which intro- duces noise into the efficient frontier, the BL framework takes an entirely different route based on Bayesian analysis in solving the error maxi- mization problem. The ...
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Optimal Portfolio Choice with Annuitization
... the optimal consumption and portfolio choice problem over an individual’s life-cycle taking into account annuity risk at ...the optimal annuity choice, ii) restricting the annuity menu to ...
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Optimal execution of portfolio transactions
... this problem is to choose dierent values of (the temporary impact parameter)depending on the overall size of the problem being considered, recognizing that the model is at best only ...
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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 retirement ...
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The Project Portfolio Management Problem
... Theorem 5.3 For the RBPPMP, an optimal policy is obtained by computing the optimal priority sequence at the beginning of the decision process, and then fully funding the highest priority[r] ...
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OPTIMAL PORTFOLIO ALLOCATION WITH CVAR: A ROBUST
... of portfolio selection is the construction of portfolios that maximize ex- pected returns at a certain level of ...frontier problem, estimates of the expected returns and the covariance matrix of the assets ...
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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 rst step, ...
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On the Role of the Growth Optimal Portfolio in Finance
... growth optimal portfolio (GOP) plays a central role in ...a portfolio selection theorem that in- vestors, who maximize the drift of discounted portfolios with comparable levels of aggregate diffusion ...
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Optimal Portfolio Liquidation for CARA Investors
... Abstract We consider the finite-time optimal portfolio liquidation problem for a von Neumann-Morgenstern investor with constant absolute risk aversion (CARA). As underlying market impact model, we ...
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Optimal Portfolio with Vector Expected Utility
... the optimal portfolio selected by an investor who conforms to Siniscalchi (2009)’s Vector Expected Utility’s (VEU) axioms and who is ambiguity ...two-assets portfolio problem and deduce asset ...
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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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Optimal Portfolio Choice and Investment in Education
... 3 Human wealth and labor income over the life- cycle As argued in the introduction, the characteristics of human capital invest- ments make them well suited to be analyzed by the real options approach. 9 In this section ...
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Optimal Portfolio Liquidation with Limit Orders
... control problem under scrutiny is intrinsically discrete in space, because of the tick size, and in time, because orders have a certain priority and changing position too often reduces the actual chance to be ...
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