On the equivalence of the static and dynamic asset allocation problems

DOI10.1080/14697680600580946zbMath1136.91451OpenAlexW2020397746MaRDI QIDQ5484641

Oana M. Papazoglu-Statescu, Robert V. Kohn

Publication date: 21 August 2006

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680600580946

zbMATH Keywords

portfolio optimizationasset allocation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

The equivalence of dynamic and static asset allocations under the uncertainty caused by Poisson processes ⋮ The dual approach to portfolio evaluation: a comparison of the static, myopic and generalized buy-and-hold strategies ⋮ Optimal mix between pay-as-you-go and funding for DC pension schemes in an overlapping generations model

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• Optimal investment in derivative securities

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