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Recursive Utility Maximization for Terminal Wealth under Partial Information
"... This paper concerns the recursive utility maximization problem for terminal wealth under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave, we adopt the variational formulation of ..."
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This paper concerns the recursive utility maximization problem for terminal wealth under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave, we adopt the variational formulation
The impact of real estate on the terminal wealth of the UK mixedasset portfolios
, 2005
"... 2 The argument for the inclusion of real estate in the mixedasset portfolio has concentrated on examining its effect in reducing the portfolio risk the time series standard deviation (TSSD), mainly using expost time series data. However, the past as such is not really relevant to the longterm in ..."
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Cited by 1 (0 self)
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term institutional investors, such as the insurance companies and pension funds, who are more concerned the terminal wealth (TW) of their investments and the variability of this wealth, the terminal wealth standard deviation (TWSD), since it is from the TW of their investment portfolio that policyholders
Abstract The Impact of Portfolio Size on the Variability of the Terminal Wealth of Real Estate Funds
"... Studies have examined the number of properties required reduce the risk in a real estate portfolio. In investigating this issue the research has concentrated on examining the impact of portfolio size on the reduction in the standard deviation of returns from ex post time series data. However, the ex ..."
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, the ex post time series standard deviation is not really relevant to longterm institutional investors, such as insurance companies and pension funds, who are more concerned with the variability of the terminal wealth of their portfolios, from which policy holders and pensioners will derive
Optimal Portfolio Selection for General Provisioning and Terminal Wealth Problems
, 2009
"... In Dhaene et al. (2005), multiperiod portfolio selection problems are discussed, using an analytical approach to find optimal constant mix investment strategies in a provisioning or savings context. In this paper we extend some of these results, investigating some specific, reallife situations. The ..."
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Cited by 2 (1 self)
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to the case where a minimal return requirement is imposed. We derive an intuitive formula that can be used in provisioning and terminal wealth problems as a constraint on the admissable investment portfolios, in order to guarantee a minimal annualized return. We always apply our results to optimal portfolio
Climate and atmospheric history of the past 420,000 years from the Vostok ice core,
 Antarctica. Nature
, 1999
"... Antarctica has allowed the extension of the ice record of atmospheric composition and climate to the past four glacialinterglacial cycles. The succession of changes through each climate cycle and termination was similar, and atmospheric and climate properties oscillated between stable bounds. Inte ..."
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Cited by 716 (15 self)
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Antarctica has allowed the extension of the ice record of atmospheric composition and climate to the past four glacialinterglacial cycles. The succession of changes through each climate cycle and termination was similar, and atmospheric and climate properties oscillated between stable bounds
OPTIMAL TERMINAL WEALTH UNDER PARTIAL INFORMATION: BOTH THE DRIFT AND THE VOLATILITY DRIVEN BY A DISCRETE TIME MARKOV CHAIN ∗
"... Abstract. We consider a multistock market model. The stock price process satisfies a stochastic differential equation where both the drift and the volatility are driven by a discretetime Markov chain of finite states. Not only the underlying Brownian motion but also the Markov chain in the stochas ..."
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in the stochastic differential equation are assumed to be unobservable. Investors can observe the stock price process only. The main result of this paper is that we derive the approximation of the optimal trading strategy and the corresponding optimal expected utility function from the terminal wealth for the CRRA
Research Article RiskAdjusted Impact of Administrative Costs on the Distribution of Terminal Wealth for LongTerm Investment
"... Copyright © 2014 Montserrat Guillén et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. The impact of administrative costs on the ..."
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on the distribution of terminal wealth is approximated using a simple formula applicable to many investment situations. We show that the reduction in median returns attributable to administrative fees is usually at least twice the amount of the administrative costs charged for most investment funds, when considering
Figure 8: Expected terminal wealth for generalised CoxIngersollRoss model as function of
"... % quantile of the stock price 4. ValueatRisk Bond Portfolios In this section we consider a simple bond portfolio problem. The investor is allowed to invest money into a money market account and a specified (coupon free discount) bond maturing at time T. We assume that one unit of money invested i ..."
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% quantile of the stock price 4. ValueatRisk Bond Portfolios In this section we consider a simple bond portfolio problem. The investor is allowed to invest money into a money market account and a specified (coupon free discount) bond maturing at time T. We assume that one unit of money invested into the money market account at time zero and continuously rolled over until time t results into an amount of B(t). Let further P(t,T) denote the price of the bond at time tÎ[0,T]. Our aim is to select an optimal bond portfolio based on a meanVaR approach. The first question that arises is to specify the reference investment used in the definition of the VaR. In Sections 2 and 3 the pure bond portfolio played this role. Of course one could think of investing all money into the money market account as the re
The Asymptotic Elasticity of Utility Functions and Optimal Investment in Incomplete Markets
 Annals of Applied Probability
, 1997
"... . The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions of the theor ..."
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Cited by 264 (19 self)
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. The paper studies the problem of maximizing the expected utility of terminal wealth in the framework of a general incomplete semimartingale model of a financial market. We show that the necessary and sufficient condition on a utility function for the validity of several key assertions
HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH
, 1996
"... We derive a formula for the minimal initial wealth needed to hedge an arbitrary contingent claim in a continuoustime model with proportional transaction costs; the expression obtained can be interpreted as the supremum of expected discounted values of the claim, over all (pairs of) probability meas ..."
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Cited by 117 (1 self)
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measures under which the “wealth process” is a supermartingale. Next, we prove the existence of an optimal solution to the portfolio optimization problem of maximizing utility from terminal wealth in the same model; we also characterize this solution via a transformation to a hedging problem: the optimal
Results 1  10
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