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Asset allocation under threshold autoregressive models

  • Published:2011-04-29 Issue:1 Volume:28 Page:60-72
  • ISSN:1524-1904
  • Container-title:Applied Stochastic Models in Business and Industry
  • language:en
  • Short-container-title:Appl. Stochastic Models Bus. Ind.

Author:

Song Na,Siu Tak Kuen,Ching Wa-Ki,Tong Howell,Yang Hailiang

Publisher

Wiley

Subject

Management Science and Operations Research,General Business, Management and Accounting,Modelling and Simulation

Reference37 articles.

1. Lifetime portfolio selection under uncertainty: the continuous-time model;Merton;Review of Economics and Statistics,1969

2. Optimum consumption and portfolio rules in a continuous-time model;Merton;Journal of Economic Theory,1971

3. Investing for retirement: optimal capital growth and dynamic asset allocation;Gerber;North American Actuarial Journal,2000

4. Optimum portfolio diversification in a general continuous-time model;Aase;Stochastic Processes and Their Applications,1984

5. Ruin problems and myopic portfolio optimization in continuous trading;Aase;Stochastic Processes and Their Applications,1986

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