A simple procedure to incorporate predictive models in a continuous time asset allocation
Author(s)
Davis, M
Lleo, S
Type
Journal Article
Abstract
Stochastic optimisation has found a fertile ground for applications in finance. One of the greatest challenges remains to incorporate a set of scenarios that accurately model the behaviour of financial markets, and in particular their behaviour during crashes and crises, without sacrificing the tractability of the optimal investment policy. This paper shows how to incorporate return predictions and crash predictions as views into continuous time asset allocation models.
Date Issued
2016-06-13
Date Acceptance
2016-01-25
Citation
Quantitative Finance Letters, 2016, 4 (1), pp.40-46
ISSN
2164-9502
Publisher
Taylor & Francis
Start Page
40
End Page
46
Journal / Book Title
Quantitative Finance Letters
Volume
4
Issue
1
Copyright Statement
© 2016 The Author(s). Published by Taylor & Francis.
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
This is an Open Access article distributed under the terms of the Creative Commons Attribution License (http://creativecommons.org/licenses/by/4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Notes
peerreview_statement: The publishing and review policy for this title is described in its Aims & Scope. aims_and_scope_url: http://www.tandfonline.com/action/journalInformation?show=aimsScope&journalCode=rqfl20
Publication Status
Published
Date Publish Online
2016-06-13