Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets-Reference-Cited by-同舟云学术

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

Published:2020 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Li Chenxu,Scaillet Olivier,Shen Yiwen

Publisher

Elsevier BV

Reference62 articles.

1. Portfolio choice with a jumps: A closed form solution;Y A�?ta�?t-Sahalia;Annals of Applied Probability,2009

2. Maximum likelihood estimation of latent markov models using closed-form approximations;Y A�?ta�?t-Sahalia;Journal of Econometrics,2020

3. Dynamic mean-variance asset allocation;S Basak;Review of Financial Studies,2010

4. Portfolio choice problems;M W Brandt;Handbook of Financial Econometrics,2010

5. Strategic asset allocation;M Brennan;Journal of Economic Dynamics and Control,1997

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