Hedging Demand for Bequest Motives

2012 ◽  
Author(s):  
Sami Attaoui ◽  
Pierre Six
Keyword(s):  
Bequest Motives ◽  
Hedging Demand

Bequest Motives in Consumption-Portfolio Problems with Recursive Utility

2019 ◽  
Author(s):  
Holger Kraft ◽  
Claus Munk ◽  
Farina Weiss
Keyword(s):  
Recursive Utility ◽  
Bequest Motives

scholarly journals The Impact of Bequest Motives on Labor Supply and Retirement Behavior in Japan: A Theoretical and Empirical Analysis

2021 ◽  
pp. 101166
Author(s):  
Charles Yuji Horioka ◽  
Emin Gahramanov ◽  
Aziz Hayat ◽  
Xueli Tang
Keyword(s):  
Labor Supply ◽  
Empirical Analysis ◽  
Bequest Motives ◽  
Retirement Behavior ◽  
The Impact

Hedging demand and market intraday momentum

2021 ◽  
Author(s):  
Guido Baltussen ◽  
Zhi Da ◽  
Sten Lammers ◽  
Martin Martens
Keyword(s):  
Hedging Demand

scholarly journals Optimal Portfolios for Financial Markets with Wishart Volatility

2013 ◽  
Vol 50 (4) ◽  
pp. 1025-1043 ◽  
Author(s):  
Nicole Bäuerle ◽  
Zejing Li
Keyword(s):  
Value Function ◽  
Numerical Study ◽  
Heston Model ◽  
Hard Part ◽  
Control Approach ◽  
Portfolio Strategy ◽  
Hamilton Jacobi Bellman ◽  
The One ◽  
Hedging Demand ◽  
The Value Function

We consider a multi asset financial market with stochastic volatility modeled by a Wishart process. This is an extension of the one-dimensional Heston model. Within this framework we study the problem of maximizing the expected utility of terminal wealth for power and logarithmic utility. We apply the usual stochastic control approach and obtain, explicitly, the optimal portfolio strategy and the value function in some parameter settings. In particular, we do this when the drift of the assets is a linear function of the volatility matrix. In this case the affine structure of the model can be exploited. In some cases we obtain a Feynman-Kac representation of the candidate value function. Though the approach we use is quite standard, the hard part is to identify when the solution of the Hamilton-Jacobi-Bellman equation is finite. This involves a couple of matrix analytic arguments. In a numerical study we discuss the influence of the investors' risk aversion on the hedging demand.

scholarly journals The Impact of Bequest Motives on Retirement Behavior in Japan: A Theoretical and Empirical Analysis

2020 ◽  
Author(s):  
Charles Yuji Horioka ◽  
Emin Gahramanov ◽  
Aziz Hayat ◽  
Xueli Tang
Keyword(s):  
Empirical Analysis ◽  
Bequest Motives ◽  
Retirement Behavior ◽  
The Impact

Do Mauritians Have Altruistic Bequest Motives?

2009 ◽  
Vol 12 (1) ◽  
pp. 17-24 ◽  
Author(s):  
Taruna Shalini Ramessur
Keyword(s):  
Bequest Motives

scholarly journals Parent–child co-residence and bequest motives in China

2010 ◽  
Vol 21 (4) ◽  
pp. 521-531 ◽  
Author(s):  
Ting Yin
Keyword(s):  
Bequest Motives ◽  
Parent Child
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