A simple procedure to incorporate predictive models in a continuous time asset allocation

Title: A simple procedure to incorporate predictive models in a continuous time asset allocation
Author(s): Davis, M
Lleo, S
Item 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.
Publication Date: 13-Jun-2016
Date of Acceptance: 25-Jan-2016
URI: http://hdl.handle.net/10044/1/42527
DOI: https://dx.doi.org/10.1080/21649502.2015.1165906
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.
Publication Status: Published
Appears in Collections:Financial Mathematics
Mathematics
Faculty of Natural Sciences



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