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Article: Asset allocation with time variation in expected returns

TitleAsset allocation with time variation in expected returns
Authors
KeywordsAsset allocation
Optimal consumption and investment
Transaction costs
Issue Date1997
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/ime
Citation
Insurance: Mathematics And Economics, 1997, v. 21 n. 3, p. 201-218 How to Cite?
AbstractThis paper analyzes the consumption investment problem of a risk averse investor in continuous time when there are several asset classes. The classic paper in this area is due to Merton who solved the problem when the returns were assumed to be stationary. We assume that there is time variation in the expected returns on the different assets and that this time variation arises from movements in the underlying state variables. We formulate the investor's decision as a problem in optimal stochastic control. Our work extends the paper by Brennan et al. (1997) to incorporate a different interest rate process. In addition we investigate the impact of transaction costs on the stock. We employ a viscosity solution approach to the problem and to guarantee a solution we need to impose strong assumptions.
Persistent Identifierhttp://hdl.handle.net/10722/82774
ISSN
2015 Impact Factor: 1.378
2015 SCImago Journal Rankings: 1.000
References

 

DC FieldValueLanguage
dc.contributor.authorBoyle, PPen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:33:16Z-
dc.date.available2010-09-06T08:33:16Z-
dc.date.issued1997en_HK
dc.identifier.citationInsurance: Mathematics And Economics, 1997, v. 21 n. 3, p. 201-218en_HK
dc.identifier.issn0167-6687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82774-
dc.description.abstractThis paper analyzes the consumption investment problem of a risk averse investor in continuous time when there are several asset classes. The classic paper in this area is due to Merton who solved the problem when the returns were assumed to be stationary. We assume that there is time variation in the expected returns on the different assets and that this time variation arises from movements in the underlying state variables. We formulate the investor's decision as a problem in optimal stochastic control. Our work extends the paper by Brennan et al. (1997) to incorporate a different interest rate process. In addition we investigate the impact of transaction costs on the stock. We employ a viscosity solution approach to the problem and to guarantee a solution we need to impose strong assumptions.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/imeen_HK
dc.relation.ispartofInsurance: Mathematics and Economicsen_HK
dc.rightsInsurance: Mathematics and Economics. Copyright © Elsevier BV.en_HK
dc.subjectAsset allocationen_HK
dc.subjectOptimal consumption and investmenten_HK
dc.subjectTransaction costsen_HK
dc.titleAsset allocation with time variation in expected returnsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0167-6687&volume=21&spage=201&epage=218&date=1997&atitle=Asset+allocation+with+time+variation+in+expected+returnsen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1016/S0167-6687(97)00021-8-
dc.identifier.scopuseid_2-s2.0-0031574504en_HK
dc.identifier.hkuros33680en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0031574504&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume21en_HK
dc.identifier.issue3en_HK
dc.identifier.spage201en_HK
dc.identifier.epage218en_HK
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridBoyle, PP=7201626864en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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