منابع مشابه
Optimal Asset Allocation and The Real Option to Delay Annuitization: It’s Not Now-or-Never
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The present paper considers a retiree of a certain age with an initial endowment of investable wealth facing the following alternative investment opportunities. One possibility is to buy a single premium immediate annuity-contract. This insurance contract pays a life-long constant pension payment of a certain amount, depending e.g. on the age of the retiree, the operating cost of the insurance ...
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uncertainty in the financial market will be driven by underlying brownian motions, while the assets are assumed to be general stochastic processes adapted to the filtration of the brownian motions. the goal of this study is to calculate the accumulated wealth in order to optimize the expected terminal value using a suitable utility function. this thesis introduced the lim-wong’s benchmark fun...
15 صفحه اولAsset allocation and derivatives
The fact that derivative securities are equivalent to specific dynamic trading strategies in complete markets suggests the possibility of constructing buy-and-hold portfolios of options that mimic certain dynamic investment policies, e.g. asset-allocation rules. We explore this possibility by solving the following problem: given an optimal dynamic investment policy, find a set of options at the...
متن کاملAsset Allocation
This review article describes recent literature on asset allocation, covering both static and dynamic models. The article focuses on the bond–stock decision and on the implications of return predictability. In the static setting, investors are assumed to be Bayesian, and the role of various prior beliefs and specifications of the likelihood are explored. In the dynamic setting, recursive utilit...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2007
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2006.11.003