Dynamic asset allocation with relative wealth concerns in incomplete markets

Author:

Kraft Holger,Meyer-Wehmann AndréORCID,Seifried Frank Thomas

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference42 articles.

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2. Dynamic mean-variance asset allocation;Basak;Rev. Financ. Stud.,2010

3. Strategic asset allocation in money management;Basak;J. Financ.,2014

4. Basak, S., Makarov, D., 2015. Competition among portfolio managers and asset specialization. Working paper.

5. Optimal asset allocation and risk shifting in money management;Basak;Rev. Financ. Stud.,2007

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