Explicit solutions to an optimal portfolio choice problem with stochastic income
Article Abstract:
A solution suggesting optimal portfolio choice to an investor with imperfectly hedgeable stochastic income is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
Forecasts, trends, outlooks, Management dynamics, Management, Forecasts and trends, Hedging (Finance), Market trend/market analysis, Company business management, Personal income
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2005
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The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
Article Abstract:
The effects of risk reduction methods on dynamic portfolio decisions in stock markets are analyzed.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2006
Analysis, Stock markets, Stock market, Risk aversion
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2006
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Optimal portfolio choice for unobservable and regime-switching mean returns
Article Abstract:
The author develops a way to analyze short or long-term portfolios by examining historic returns.
Publisher: Elsevier B.V.
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
Publication Name: Journal of Economic Dynamics & Control
Subject: Economics
ISSN: 0165-1889
Year: 2003
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Subjects list: Methods, United States, Portfolio management
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