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We study the dynamic investment strategies in continuous-time settings based upon stochastic differential utilities of Duffie and Epstein (Econometrica 60:353–394, 1992). We assume that the asset prices follow interacting Itô-Poisson processes, which are known to be the so-called...
In this paper, we study a dynamic portfolio-consumption optimization problem when the market price of risk is driven by linear Gaussian processes. We show sufficient conditions to verify that an explicit solution derived from the Hamilton-Jacobi-Bellman equation is in fact an optimal solution to...
In this paper we develop a portfolio selection theory under regime switching means and volatilities. We use log mean-variance as the portfolio selection criteria and, as a result, the theory is made substantially easier to implement than other existing theories. Moreover, the estimated regimes...
We study the constant rebalancing strategy for multi-period portfolio optimization via conditional value-at-risk (CVaR) when there are nonlinear transaction costs. This problem is difficult to solve because of its nonconvexity. The nonlinear transaction costs and CVaR constraints make things...
In this paper we develop a portfolio selection theory considering discrete regime shifts in the investment opportunity and conduct an empirical analysis using Japanese sector indices to verify its effectiveness. Specifically, we model the regime shifts using a first-order Markov switching model...
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