Optimal dynamic asset allocation in a non—Gaussian world

2010 ◽  
pp. 273-282
Author(s):  
Gianni Pola
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic ◽  
Non Gaussian

Liquidity Regimes and Optimal Dynamic Asset Allocation

2018 ◽  
Author(s):  
Pierre mname Collin-Dufresne ◽  
Kent D. mname Daniel ◽  
Mehmet mname Saalam
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

Liquidity regimes and optimal dynamic asset allocation

2020 ◽  
Vol 136 (2) ◽  
pp. 379-406 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Kent Daniel ◽  
Mehmet Sağlam
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

Dynamic mean variance asset allocation: Tests for robustness

2017 ◽  
Vol 04 (02n03) ◽  
pp. 1750021 ◽  
Author(s):  
Peter A. Forsyth ◽  
Kenneth R. Vetzal
Keyword(s):  
Asset Allocation ◽  
Stock Index ◽  
Dynamic Asset Allocation ◽  
Constant Weight ◽  
Terminal Wealth ◽  
Optimal Dynamic ◽  
Yearly Maximum ◽  
Hamilton Jacobi Bellman ◽  
Equity Index ◽  
Mean Variance

We consider a portfolio consisting of a risk-free bond and an equity index which follows a jump diffusion process. Parameters for the inflation-adjusted return of the stock index and the risk-free bond are determined by examining 89 years of data. The optimal dynamic asset allocation strategy for a long-term pre-commitment mean variance (MV) investor is determined by numerically solving a Hamilton–Jacobi–Bellman partial integro-differential equation. The MV strategy is mathematically equivalent to minimizing the quadratic shortfall of the target terminal wealth. We incorporate realistic constraints on the strategy: discrete rebalancing (yearly), maximum leverage, and no trading if insolvent. Extensive synthetic market tests and resampled backtests of historical data indicate that the multi-period MV strategy achieves approximately the same expected terminal wealth as a constant weight strategy, but with much smaller variance and probability of shortfall.

scholarly journals An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs

2009 ◽  
Vol 48 (4) ◽  
pp. 2254-2274 ◽  
Author(s):  
Giuseppe Carlo Calafiore
Keyword(s):  
Transaction Costs ◽  
Asset Allocation ◽  
Control Method ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

scholarly journals International Diversification and Return Predictability: Optimal Dynamic Asset Allocation

2006 ◽  
Author(s):  
Devraj Basu ◽  
Roel C. A. Oomen ◽  
Alexander Stremme
Keyword(s):  
Asset Allocation ◽  
International Diversification ◽  
Return Predictability ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

scholarly journals Liquidity Regimes and Optimal Dynamic Asset Allocation

2018 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Kent Daniel ◽  
Mehmet Saǧlam
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic
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