Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3580735 ◽

2020 ◽

Author(s):

Chenxu Li ◽

Olivier Scaillet ◽

Yiwen Shen

Keyword(s):

Portfolio Choice ◽

Incomplete Markets ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Optimal Dynamic Portfolio Choice in Incomplete Markets

Dynamic Asset Allocation with Forwards and Futures ◽

10.1007/0-387-24106-x_5 ◽

2005 ◽

pp. 81-91

Keyword(s):

Portfolio Choice ◽

Incomplete Markets ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Optimal Dynamic Portfolio Choice in Complete Markets

Dynamic Asset Allocation with Forwards and Futures ◽

10.1007/0-387-24106-x_4 ◽

2005 ◽

pp. 59-79

Keyword(s):

Portfolio Choice ◽

Complete Markets ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

Review of Financial Studies ◽

10.1093/rfs/hhg029 ◽

2003 ◽

Vol 17 (3) ◽

pp. 611-641 ◽

Author(s):

Jun Liu ◽

Francis A. Longstaff

Keyword(s):

Portfolio Choice ◽

Arbitrage Opportunities ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Optimal Dynamic Portfolio Choice with Multiple Decentralized Agents

SSRN Electronic Journal ◽

10.2139/ssrn.2147040 ◽

2012 ◽

Author(s):

Huaning Cai ◽

Andrew E. B. Lim

Keyword(s):

Portfolio Choice ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Losing Money on Arbitrage: Optimal Dynamic Portfolio Choice in Markets with Arbitrage Opportunities

SSRN Electronic Journal ◽

10.2139/ssrn.246835 ◽

2000 ◽

Author(s):

Jun Liu ◽

Francis A. Longstaff

Keyword(s):

Portfolio Choice ◽

Arbitrage Opportunities ◽

Dynamic Portfolio ◽

Optimal Dynamic ◽

Dynamic Portfolio Choice

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Home Bias and High Turnover: Dynamic Portfolio Choice with Incomplete Markets

SSRN Electronic Journal ◽

10.2139/ssrn.1266993 ◽

2008 ◽

Author(s):

Viktoria V. Hnatkovska

Keyword(s):

Portfolio Choice ◽

Incomplete Markets ◽

Home Bias ◽

High Turnover ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Home bias and high turnover: Dynamic portfolio choice with incomplete markets

Journal of International Economics ◽

10.1016/j.jinteco.2009.06.006 ◽

2010 ◽

Vol 80 (1) ◽

pp. 113-128 ◽

Author(s):

Viktoria Hnatkovska

Keyword(s):

Portfolio Choice ◽

Incomplete Markets ◽

Home Bias ◽

High Turnover ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Efficient Parallel Solution Methods for Dynamic Portfolio Choice Models in Discrete Time

SSRN Electronic Journal ◽

10.2139/ssrn.2665031 ◽

2015 ◽

Author(s):

Vanya Horneff ◽

Raimond Maurer ◽

Peter Schober

Keyword(s):

Portfolio Choice ◽

Discrete Time ◽

Choice Models ◽

Parallel Solution ◽

Solution Methods ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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The Liquidity Risk Premium Demanded by Large Investors: Dynamic Portfolio Choice with Stochastic Illiquidity

SSRN Electronic Journal ◽

10.2139/ssrn.2711718 ◽

2015 ◽

Author(s):

Joost Driessen ◽

Ran Xing

Keyword(s):

Portfolio Choice ◽

Risk Premium ◽

Liquidity Risk ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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Dynamic Portfolio Choice: A Simulation Approach

SSRN Electronic Journal ◽

10.2139/ssrn.271188 ◽

2001 ◽

Author(s):

Michael W. Brandt ◽

Amit Goyal ◽

Pedro Santa-Clara

Keyword(s):

Portfolio Choice ◽

Simulation Approach ◽

Dynamic Portfolio ◽

Dynamic Portfolio Choice

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