ON THE SHAPE OF RISK AVERSION AND ASSET ALLOCATION

DOI10.1142/S021902491450054XzbMath1304.91208OpenAlexW3123680376MaRDI QIDQ2939926

Pierre Six

Publication date: 23 January 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491450054x

zbMATH Keywords

optionsrisk aversionmean-reversionwealthasset allocation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Relative risk aversion: what do we know?
• A note on Merton's ``Optimum consumption and portfolio rules in a continuous-time model
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• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences
• Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• An Intertemporal Capital Asset Pricing Model
• Changes of numéraire, changes of probability measure and option pricing
• Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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