A theoretical investigation of randomized asset allocation strategies

DOI10.1080/135048698334682zbMath1011.91501OpenAlexW2012455875MaRDI QIDQ4541558

Steven Eli Posner, Moshe Arye Milevsky

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048698334682

zbMATH Keywords

portfolioprobability density functionpricinginvestmentslog normal distributionexpected wealthasset allocatorasset classmarket timing penalty

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Sequential binary investment decisions. A Bayesian approach
• On the inefficiency of bang-bang and stop-loss portfolio strategies
• Fallacy of the log-normal approximation to optimal portfolio decision-making over many periods

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