𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Asset allocation with time variation in expected returns

✍ Scribed by Phelim P. Boyle; Hailiang Yang

Book ID
104299614
Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
964 KB
Volume
21
Category
Article
ISSN
0167-6687

No coin nor oath required. For personal study only.

✦ Synopsis

This paper analyzes the consumption investment problem of a risk averse investor in continuous time when there are several asset classes. The classic paper in this area is due to Merton who solved the problem when the returns were assumed to be stationary. We assume that there is time variation in the expected returns on the different assets and that this time variation arises from movements in the underlying state variables. We formulate the investor's decision as a problem in optimal stochastic control. Our work extends the paper by to incorporate a different interest rate process. In addition we investigate the impact of transaction costs on the stock. We employ a viscosity solution approach to the problem and to guarantee a solution we need to impose strong assumptions.

πŸ“œ SIMILAR VOLUMES

Asset returns in an endogenous growth mo
Asset returns in an endogenous growth model with incomplete markets
✍ Tom Krebs; Bonnie Wilson πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 341 KB

This paper analyzes a class of stochastic endogenous growth models with uninsurable idiosyncratic income risk. The model economy is populated by inΓΏnitely-lived households who own and operate their own business, work for a stock company, and participate in stock and bond markets. Households have log

Time variation in the tail behavior of B
Time variation in the tail behavior of Bund future returns
✍ Thomas Werner; Christian Upper πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 140 KB

## Abstract The literature on the tail behavior of asset prices focuses mainly on the foreign exchange and stock markets, with only a few articles dealing with bonds or bond futures. The present article addresses this omission. It focuses on three questions using extreme value analysis: (a) Does th