Optimal Dynamic Asset Allocation for DC Plan Accumulation/Decumulation: Ambition-CVAR

2019 ◽  
Author(s):  
Peter Forsyth
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

Liquidity Regimes and Optimal Dynamic Asset Allocation

2018 ◽  
Author(s):  
Pierre mname Collin-Dufresne ◽  
Kent D. mname Daniel ◽  
Mehmet mname Saalam
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

Liquidity regimes and optimal dynamic asset allocation

2020 ◽  
Vol 136 (2) ◽  
pp. 379-406 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Kent Daniel ◽  
Mehmet Sağlam
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic

Dynamic mean variance asset allocation: Tests for robustness

2017 ◽  
Vol 04 (02n03) ◽  
pp. 1750021 ◽  
Author(s):  
Peter A. Forsyth ◽  
Kenneth R. Vetzal
Keyword(s):  
Asset Allocation ◽  
Stock Index ◽  
Dynamic Asset Allocation ◽  
Constant Weight ◽  
Terminal Wealth ◽  
Optimal Dynamic ◽  
Yearly Maximum ◽  
Hamilton Jacobi Bellman ◽  
Equity Index ◽  
Mean Variance

We consider a portfolio consisting of a risk-free bond and an equity index which follows a jump diffusion process. Parameters for the inflation-adjusted return of the stock index and the risk-free bond are determined by examining 89 years of data. The optimal dynamic asset allocation strategy for a long-term pre-commitment mean variance (MV) investor is determined by numerically solving a Hamilton–Jacobi–Bellman partial integro-differential equation. The MV strategy is mathematically equivalent to minimizing the quadratic shortfall of the target terminal wealth. We incorporate realistic constraints on the strategy: discrete rebalancing (yearly), maximum leverage, and no trading if insolvent. Extensive synthetic market tests and resampled backtests of historical data indicate that the multi-period MV strategy achieves approximately the same expected terminal wealth as a constant weight strategy, but with much smaller variance and probability of shortfall.

scholarly journals Liquidity Regimes and Optimal Dynamic Asset Allocation

2018 ◽  
Author(s):  
Pierre Collin-Dufresne ◽  
Kent Daniel ◽  
Mehmet Saǧlam
Keyword(s):  
Asset Allocation ◽  
Dynamic Asset Allocation ◽  
Optimal Dynamic
Sign in / Sign up

Export Citation Format

Share Document