An overview on dynamic optimal portfolio allocation

Authors

  • Ilaria Stefani Sapienza, Universit√† di Roma

DOI:

https://doi.org/10.13133/2611-6634/1415

Keywords:

asset allocation, co-jumps, recursive preferences, dynamic programming, stochastic volatility

Abstract

A portfolio allocation problem relies upon the decision process to establish how resources must be allocated among different possible investments. Investors are interested in gaining as much as possible from their investment, but at the same time they are concerned with risks they have to face. The aim of investors is to maximize their returns without exceeding a certain level of risk. Moreover this behaviour has to be mathematically modeled, resorting to the optimal control theory and the maximization of expected utility. This paper reviews the literature on the portoflio allocation, in order to give a complete picture of what has been done, as well as, possible contributions for future research.

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Published

2022-12-31

Issue

Section

Research Papers