arXiv (Cornell University) · 2013 · 13 citations · 39 references
BusinessFinanceFinancial ManagementInvestment ManagementPortfolio ManagementStochastic ProcessesInvestmentInvestment TheoryPortfolio OptimizationPortfolio SelectionPortfolio TheoryStochastic ControlExpected Return PredictabilityInvestment OpportunitiesOptimal Portfolio ChoicePortfolio Choice TheoryPortfolio Choice Under RiskPortfolio Selection TheoryStochastic Portfolio SelectionStochastic Volatility Models
This survey reviews portfolio choice in settings where investment opportunities are stochastic due to, e.g., stochastic volatility or return predictability. It is explained how to heuristically compute candidate optimal portfolios using tools from stochastic control, and how to rigorously verify their optimality by means of convex duality. Special emphasis is placed on long-horizon asymptotics, that lead to particularly tractable results.
39
A Theory of the Term Structure of Interest Rates
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross · Econometrica · 1985 · 8.6K citations
Optimum consumption and portfolio rules in a continuous-time model
Robert C. Merton · Journal of Economic Theory · 1971 · 6.2K citations
Social Sciences, Economics, Finance +16