Dynamic asset allocation with event risk, transaction costs and predictable returns

DOI10.1007/S11579-018-0216-5zbMath1396.91704OpenAlexW2803167755MaRDI QIDQ1670395

Jean-Guy Simonato

Publication date: 5 September 2018

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-018-0216-5

zbMATH Keywords

jumpstransaction costsdynamic asset allocationreturn predictabilityevent risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Option pricing when underlying stock returns are discontinuous

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