Concepedia

Stochastic Asset Allocation

Stochastic Asset Allocation is a dynamic investment framework that belongs to the class of asset allocation models and is distinguished by its explicit incorporation of stochastic processes to model uncertainty in asset returns and optimize portfolio decisions over time under risk constraints.

104

Publications

5.8K

Citations

203

Authors

152

Institutions

Publications per year

2017–2026

15

Parents

Publications

104

Asset allocation under multivariate regime switching

Massimo Guidolin, Allan Timmermann · Journal of Economic Dynamics and Control · 2007 · 409 citations

, , +17

Optimal International Reserves: A Stochastic Framework

Jacob A. Frenkel, Boyan Jovanovic · The Economic Journal · 1981 · 351 citations

, , +14

Stochastic lifestyling: Optimal dynamic asset allocation for defined contribution pension plans

Andrew J. G. Cairns, David Blake, Kevin Dowd · Journal of Economic Dynamics and Control · 2005 · 319 citations

, , +16

Stochastic Network Programming for Financial Planning Problems

John M. Mulvey, Hercules Vladimirou · Management Science · 1992 · 270 citations

, , +15

On the Optimality of the Stock Market Allocation of Investment

J. E. Stiglitz · The Quarterly Journal of Economics · 1972 · 207 citations · Full text

, , +13

1–5 of 104

Authors

203

  1. MG
    Massimo Guidolin

    Bocconi University, Italy

    4 publications · 566 citations

    4

    h-index

  2. AT
    Allan Timmermann

    University of California San Diego, United States

    4 publications · 566 citations

    4

    h-index

  3. PF
    Peter Forsyth

    University of Waterloo, Canada

    3 publications · 104 citations

    3

    h-index

  4. CS
    Carsten Sørensen

    London School of Economics and Political Science, United Kingdom

    3 publications · 385 citations

    3

    h-index

  5. CM
    Claus Munk

    Copenhagen Business School, Denmark

    3 publications · 385 citations

    3

    h-index

1–5 of 203

Institutions

152

  1. University of California San Diego

    San Diego, United States

    4 h-index

    5 publications

    583 citations

  2. Copenhagen Business School

    Copenhagen, Denmark

    3 h-index

    4 publications

    453 citations

  3. University of Manchester

    Manchester, United Kingdom

    3 h-index

    4 publications

    526 citations

  4. Columbia University

    New York, United States

    3 h-index

    3 publications

    410 citations

  5. Princeton University

    Princeton, United States

    3 h-index

    3 publications

    401 citations

  6. University of Waterloo

    Waterloo, Canada

    3 h-index

    5 publications

    174 citations

  7. University of Hong Kong

    Pok Fu Lam, Hong Kong

    3 h-index

    5 publications

    93 citations

  8. National Bureau of Economic Research

    Cambridge, United States

    2 h-index

    3 publications

    429 citations

1–8 of 152

Venues

  1. SSRN Electronic Journal

    Repository · 10 publications · 404 citations

    10

    h-index

  2. Insurance Mathematics and Economics

    9 publications · 376 citations

    9

    h-index

  3. Journal of Economic Dynamics and Control

    6 publications · 994 citations

    6

    h-index

  4. European Journal of Operational Research

    5 publications · 234 citations

    5

    h-index

  5. International Journal of Theoretical and Applied Finance

    IJTAF · 4 publications · 103 citations

    4

    h-index

1–5