Author of the publication

Understanding dynamic mean variance asset allocation.

, and . Eur. J. Oper. Res., 254 (1): 320-337 (2016)

Please choose a person to relate this publication to

To differ between persons with the same name, the academic degree and the title of an important publication will be displayed. You can also use the button next to the name to display some publications already assigned to the person.

 

Other publications of authors with the same name

Understanding dynamic mean variance asset allocation., and . Eur. J. Oper. Res., 254 (1): 320-337 (2016)Optimal currency risk hedging, and . Journal of International Money and Finance, 21 (2): 241--264 (April 2002)Investment and hedging under a stochastic yield curve : A two-state-variable, multi-factor model, and . European Economic Review, 37 (5): 1127--1147 (June 1993)Optimum consumption and portfolio rules with money as an asset. Journal of Banking & Finance, 7 (2): 231--252 (June 1983)Long horizon predictability: An asset allocation perspective., and . Eur. J. Oper. Res., 278 (3): 961-975 (2019)General equilibrium pricing of CPI derivatives, and . Journal of Banking & Finance, 29 (5): 1265--1294 (May 2005)International asset allocation: A new perspective, and . Journal of Banking & Finance, 27 (11): 2203--2230 (November 2003)On optimal portfolio choice under stochastic interest rates, and . Journal of Economic Dynamics and Control, 25 (11): 1841--1865 (November 2001)Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth, and . Journal of Economic Dynamics and Control, 20 (6-7): 1101--1113 (00 1996)Dynamic asset pricing with non-redundant forwards, and . Journal of Economic Dynamics and Control, 27 (7): 1163--1180 (May 2003)