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Author : Chunsheng Zhou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (334 download)
Download or read book Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information written by Chunsheng Zhou and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : F. Spinnewyn
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.:/5 (255 download)
Download or read book A Two-asset Model of Dynamic Portfolio Choice written by F. Spinnewyn and published by . This book was released on 1974 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.1/5 (916 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.
Author : Wolfram J. Horneff
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.3/5 ( download)
Download or read book Money in Motion written by Wolfram J. Horneff and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: Retirees confront the difficult problem of how to manage their money in retirement so as to not outlive their funds while continuing to invest in capital markets. We posit a dynamic utility maximizer who makes both asset location and allocation decisions when managing her retirement financial wealth and annuities, and we prove that she can benefit from both the equity premium and longevity insurance in her retirement portfolio. Even without bequests, she will not fully annuitize; rather, her optimal stock allocation amounts initially to more than half of her financial wealth and declines with age. Welfare gains from this strategy can amount to 40 percent of financial wealth (depending on risk parameters and other resources). In practice, it turns out that many retirees will do almost as well by purchasing a variable annuity invested 60/40 in stocks/bonds.
Author : Richard E. Oberuc
Publisher : McGraw Hill Professional
ISBN 13 : 9780071426695
Total Pages : 344 pages
Book Rating : 4.4/5 (266 download)
Download or read book Dynamic Portfolio Theory and Management written by Richard E. Oberuc and published by McGraw Hill Professional. This book was released on 2004 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Author : Chunsheng Zhou
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book Dynamic Portfolio Choice and Asset Pricing with Heterogeneous Information (II) : Differential Information Sets written by Chunsheng Zhou and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814293490
Total Pages : 883 pages
Book Rating : 4.8/5 (142 download)
Download or read book The Kelly Capital Growth Investment Criterion written by Leonard C. MacLean and published by World Scientific. This book was released on 2011 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.
Author :
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (115 download)
Download or read book Dynamic Portfolio Choice with Predictable Returns and Transaction Costs written by and published by . This book was released on 2017 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chunsheng ZHOU
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (119 download)
Download or read book DYNAMIC PORTFOLIO CHOICE AND ASSET PRICING WITH HETEROGENEOUS INFORMATION : COMPLETELY RANKED INFORMATION SETS written by Chunsheng ZHOU and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Santanu Roy
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (214 download)
Download or read book Theory of Dynamic Portfolio Choice for Survival Under Uncertainty written by Santanu Roy and published by . This book was released on 1995 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael W. Brandt
Publisher :
ISBN 13 :
Total Pages : 43 pages
Book Rating : 4.:/5 (129 download)
Download or read book Dynamic Portfolio Choice written by Michael W. Brandt and published by . This book was released on 2001 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a simulation-based method for solving realistic portfolio choice problems that potentially involve non-standard preferences and a large number of assets with arbitrary return distribution. Specifically, the return distribution can be time-varying as a function of many observable or unobservable state variables and can even be path-dependent. Furthermore, the method is flexible enough to accommodate intermediate consumption, parameter and model uncertainty, and portfolio constraints. We first establish the properties of the method for the choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the optimal asset allocation across ten industry portfolios that exhibit momentum through its empirical pattern of own- and cross-serial correlations of returns.
Author : Nikolai Dokuchaev
Publisher : Springer Science & Business Media
ISBN 13 : 9780792376484
Total Pages : 232 pages
Book Rating : 4.3/5 (764 download)
Download or read book Dynamic Portfolio Strategies: quantitative methods and empirical rules for incomplete information written by Nikolai Dokuchaev and published by Springer Science & Business Media. This book was released on 2002-01-31 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: An investigation of optimal investment problems for stochastic financial market models, this book is addressed to academics and students who are interested in the mathematics of finance, stochastic processes and optimal control. It should also be useful to practitioners in risk management and quantitative analysis who are interested in new strategies and methods of stochastic analysis.
Author : Georgios Skoulakis
Publisher :
ISBN 13 :
Total Pages : 64 pages
Book Rating : 4.:/5 (129 download)
Download or read book Dynamic Portfolio Choice with Bayesian Learning written by Georgios Skoulakis and published by . This book was released on 2008 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the importance of parameter uncertainty and learning in the context of dynamic portfolio choice. In a discrete time setting, we consider a Bayesian investor who faces parameter uncertainty and solves her portfolio choice problem while updating her beliefs about the parameters. For different return data generating processes, including i.i.d. returns, autoregressive returns, and exogenous predictability, we show how the investor makes dynamic portfolio choices, taking into account that she will learn from future data. We find that, in general, learning introduces negative horizon effects and that ignoring parameter uncertainty may lead to significant losses in certainty equivalent return on wealth. However, the significance of learning is reduced when the investor uses more past data in her estimation and/or when her risk aversion increases. Learning about unconditional expected returns appears to be the most important aspect of the learning process. Using the earnings-to-price ratio as a predictor and an empirical Bayes prior, we find that learning reduces, but does not necessarily eliminate, the positive hedging demands induced by predictability and correlation between the return and predictor innovations.
Author : Chenxu Li
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (118 download)
Download or read book Decomposition of Optimal Dynamic Portfolio Choice with Wealth-dependent Utilities in Incomplete Markets written by Chenxu Li and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Semiparametric Dynamic Portfolio Choice with Multiple Conditioning Variables written by and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Poomyos Wimonkittiwat
Publisher :
ISBN 13 :
Total Pages : 95 pages
Book Rating : 4.:/5 (919 download)
Download or read book Topics in Dynamic Portfolio Choice Problems written by Poomyos Wimonkittiwat and published by . This book was released on 2013 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study two important generalizations of dynamic portfolio choice problems: a portfolio choice problem with market impact costs and a portfolio choice problem under the Hidden Markov Model. In the first problem, we allow the presence of market impact and illiquidity. Illiquidity and market impact refer to the situation where it may be costly or difficult to trade a desired quantity of assets over a desire period of time. In this work, we formulate a simple model of dynamic portfolio choice that incorporates liquidity effects. The resulting problem is a stochastic linear quadratic control problem where liquidity costs are modeled as a quadratic penalty on the trading rate. Though easily computable via Riccati equations, we also derive a multiple time scale asymptotic expansion of the value function and optimal trading rate in the regime of vanishing market impact costs. This expansion reveals an interesting but intuitive relationship between the optimal trading rate for the illiquid problem and the classical Merton model for dynamic portfolio selection in perfectly liquid markets. It also gives rise to the notion of a liquidity time scale. Furthermore, the solution to our illiquid portfolio problem shows promising performance and robustness properties. In the second problem, we study dynamic portfolio choice problems under regime switching market. We assume the market follows the Hidden Markov Model with unknown transition probabilities and unknown observation statistics. The main difficulty of this dynamic programming problem is its high-dimensional state variables. The joint probability density function of the hidden regimes and the unknown quantities is part of the state variables, and this makes the problem suffer from the curse of dimensionality. Though the problem cannot be solved by any standard fashions, we propose approximate methods that tractably solve the problem. The key is to approximate the value function by that of a simpler problem where the regime is not hidden and the parameters are observable (the C-problem). This approximation allows the optimal portfolio to be computed in a semi-explicit way. The approximate solution shares the same structure with the solution of C-problem, but at the same time it provides clear insight into the unobservable extension. In addition, the performance of the proposed methods is reasonably close to the upper-bound obtained from the information relaxation problem.
Author : Isabelle Brocas
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (944 download)
Download or read book Skewness Seeking in a Dynamic Portfolio Choice Experiment written by Isabelle Brocas and published by . This book was released on 2016 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
