[PDF] Top 20 Essays on dynamic portfolio management

... Chapter 7 proposes a new utility based performance measure that can be applied in the ex-post evaluation of dynamic portfolio strategies.. We construct a contingent claim estimation appr[r] ... See full document

... These papers also find that learning induces a negative hedging demand, but disagree on the magnitude of its effect on the investor’s portfolio choice. Brandt et al. (2005) find that the negative hedging demand ... See full document

... on portfolio choice, risk management and option ...recent portfolio choice papers in jump-diffusion models demonstrate that optimal portfolios held by an investor facing jump risks differ markedly from ... See full document

... 1%. Considering the 2% transaction cost, both RV and IV can make similar profits when trading on both call and put options. However, both RV and IV can not make profits when trading only on call options. When trading ... See full document

... dominant role of policy shock in explaining unconditional second moments, especially in early sample. It is also believed that the early sample is mostly a demand driven econ- omy, with monetary shocks coming into demand ... See full document

... Another point of attention it that the traditional theories on managing change are based on the assumption of episodic change, which assumes organizations move from one state of the equilibrium to another. Tsoukas and ... See full document

... time portfolio management is [4], in which Merton used dynamic programming and partial differential equation (PDE) theory to derive and solve the Hamilton-Jacobi-Bellman (HJB) equation, and thus ... See full document

... Motivated by these stylised facts, I consider a model of strategic trading where an insider trades in the presence of uncertain liquidity. The investment strategy of the insider is based on perfect information about the ... See full document

... Portfolio management is a dynamic decision process, whereby a business’s list of active new product (R&D) projects is constantly up-dated and ...The portfolio decision process is ... See full document

... The Panel Study of Income Dynamics (PSID), conducted by Michigan University since 1968, is a longitudinal survey of randomly sampled American individuals and the households in which they reside. The survey concentrates ... See full document

... tertile portfolio of Illiquid mutual funds in Panel A and Liquid mutual funds in Panel B, sorted on their past 12 month abnormal return during the period ... See full document

... optimal portfolio currency shares are directly linked to exchange rate ...a portfolio that is short in domestic bonds and long in foreign ...optimal portfolio that is overweight in home ... See full document

... of portfolio insurance strategy is a complicated systems ...on dynamic portfolio insurance model and its op- timal strategy, the study of this paper is a basis for the further research of the ... See full document

... structured dynamic environment that cannot be easily replaced by field data; this is because strategic behavior can be observed only if there is a precise measurement of the state variable and the actions space ... See full document

... three essays that examine incentive problems within various dynamic ...a dynamic regulatory system that encourages regulated agents to monitor their activities and voluntarily report their ... See full document

... This thesis considers estimation of discrete choice stationary dynamic games. Chapter 1 shows that when payoffs are linear in the parameters Least Squares estimators are consistent estimators for payoff ... See full document

... cycle portfolio allocation models treat retirement period labor income as a constant fraction of labor income of the last working period as in Gomes and Michaelides (2005) and Cocco ... See full document

... This paper also contributes to the literature on inefficiencies caused by systems of accountability. So far the literature has focused on rational models. Maskin and Tirole 2004 have shown that public officials ... See full document

... This section presents an industry equilibrium of firms that make production and financing decisions. This model can be thought of as an extension of the stylized model presented in a previous section. The model is fully ... See full document

... as portfolio also change. An investor invests his funds in a portfolio expecting to get a good return with less risk to ...bear. Portfolio management concerns the construction and maintenance ... See full document