Matches in SemOpenAlex for { <https://semopenalex.org/work/W2012131330> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W2012131330 endingPage "1177" @default.
- W2012131330 startingPage "1145" @default.
- W2012131330 abstract "This paper develops a continuous time modeling approach for making optimal asset allocation decisions. Macroeconomic and financial factors are explicitly modeled as Gaussian stochastic processes which directly affect the mean returns of the assets. We employ methods of risk sensitive control theory, thereby using an infinite horizon objective that is natural and features the long run expected growth rate and the asymptotic variance as two measures of performance, analogous to the mean return and variance, respectively, in the single period Markowitz model. The optimal strategy is a simple function of the factor levels, and, even with constraints on the portfolio proportions, it can be computed by solving a quadratic program. Explicit formulas can be obtained, as is illustrated by an example where the only factor is a Vasicek-type interest rate and where there are two assets: cash and a stock index. The methods are further illustrated by studies of two data sets: U.S. data with two assets and up to three factors, and Australian data with three assets and three factors." @default.
- W2012131330 created "2016-06-24" @default.
- W2012131330 creator A5004356476 @default.
- W2012131330 creator A5033320493 @default.
- W2012131330 creator A5070487421 @default.
- W2012131330 date "2000-07-01" @default.
- W2012131330 modified "2023-10-10" @default.
- W2012131330 title "Risk sensitive asset allocation" @default.
- W2012131330 cites W1484091935 @default.
- W2012131330 cites W1490772975 @default.
- W2012131330 cites W1513869646 @default.
- W2012131330 cites W1668124899 @default.
- W2012131330 cites W1976020937 @default.
- W2012131330 cites W2005158847 @default.
- W2012131330 cites W2006776755 @default.
- W2012131330 cites W2013530375 @default.
- W2012131330 cites W2021824814 @default.
- W2012131330 cites W2042492235 @default.
- W2012131330 cites W2046913100 @default.
- W2012131330 cites W2063612475 @default.
- W2012131330 cites W2082330181 @default.
- W2012131330 cites W2083507693 @default.
- W2012131330 cites W2093416580 @default.
- W2012131330 cites W2119143694 @default.
- W2012131330 cites W2134807435 @default.
- W2012131330 cites W3028434020 @default.
- W2012131330 cites W3121378067 @default.
- W2012131330 cites W3124215555 @default.
- W2012131330 cites W4247720567 @default.
- W2012131330 cites W4255761883 @default.
- W2012131330 cites W4300036648 @default.
- W2012131330 doi "https://doi.org/10.1016/s0165-1889(99)00017-2" @default.
- W2012131330 hasPublicationYear "2000" @default.
- W2012131330 type Work @default.
- W2012131330 sameAs 2012131330 @default.
- W2012131330 citedByCount "53" @default.
- W2012131330 countsByYear W20121313302013 @default.
- W2012131330 countsByYear W20121313302014 @default.
- W2012131330 countsByYear W20121313302015 @default.
- W2012131330 countsByYear W20121313302017 @default.
- W2012131330 countsByYear W20121313302018 @default.
- W2012131330 countsByYear W20121313302019 @default.
- W2012131330 countsByYear W20121313302020 @default.
- W2012131330 countsByYear W20121313302022 @default.
- W2012131330 countsByYear W20121313302023 @default.
- W2012131330 crossrefType "journal-article" @default.
- W2012131330 hasAuthorship W2012131330A5004356476 @default.
- W2012131330 hasAuthorship W2012131330A5033320493 @default.
- W2012131330 hasAuthorship W2012131330A5070487421 @default.
- W2012131330 hasConcept C10138342 @default.
- W2012131330 hasConcept C106159729 @default.
- W2012131330 hasConcept C117219021 @default.
- W2012131330 hasConcept C129844170 @default.
- W2012131330 hasConcept C139819358 @default.
- W2012131330 hasConcept C149782125 @default.
- W2012131330 hasConcept C162324750 @default.
- W2012131330 hasConcept C175025494 @default.
- W2012131330 hasConcept C201608381 @default.
- W2012131330 hasConcept C2524010 @default.
- W2012131330 hasConcept C2780821815 @default.
- W2012131330 hasConcept C33923547 @default.
- W2012131330 hasConcept C38652104 @default.
- W2012131330 hasConcept C41008148 @default.
- W2012131330 hasConcept C76178495 @default.
- W2012131330 hasConceptScore W2012131330C10138342 @default.
- W2012131330 hasConceptScore W2012131330C106159729 @default.
- W2012131330 hasConceptScore W2012131330C117219021 @default.
- W2012131330 hasConceptScore W2012131330C129844170 @default.
- W2012131330 hasConceptScore W2012131330C139819358 @default.
- W2012131330 hasConceptScore W2012131330C149782125 @default.
- W2012131330 hasConceptScore W2012131330C162324750 @default.
- W2012131330 hasConceptScore W2012131330C175025494 @default.
- W2012131330 hasConceptScore W2012131330C201608381 @default.
- W2012131330 hasConceptScore W2012131330C2524010 @default.
- W2012131330 hasConceptScore W2012131330C2780821815 @default.
- W2012131330 hasConceptScore W2012131330C33923547 @default.
- W2012131330 hasConceptScore W2012131330C38652104 @default.
- W2012131330 hasConceptScore W2012131330C41008148 @default.
- W2012131330 hasConceptScore W2012131330C76178495 @default.
- W2012131330 hasIssue "8" @default.
- W2012131330 hasLocation W20121313301 @default.
- W2012131330 hasOpenAccess W2012131330 @default.
- W2012131330 hasPrimaryLocation W20121313301 @default.
- W2012131330 hasRelatedWork W1571724187 @default.
- W2012131330 hasRelatedWork W1589579336 @default.
- W2012131330 hasRelatedWork W2145741896 @default.
- W2012131330 hasRelatedWork W2154483622 @default.
- W2012131330 hasRelatedWork W2166298757 @default.
- W2012131330 hasRelatedWork W3044342492 @default.
- W2012131330 hasRelatedWork W3125299121 @default.
- W2012131330 hasRelatedWork W3136500995 @default.
- W2012131330 hasRelatedWork W3144451593 @default.
- W2012131330 hasRelatedWork W78903400 @default.
- W2012131330 hasVolume "24" @default.
- W2012131330 isParatext "false" @default.
- W2012131330 isRetracted "false" @default.
- W2012131330 magId "2012131330" @default.
- W2012131330 workType "article" @default.