英文标题：
《Explicit solution to dynamic portfolio choice problem : The
continuous-time detour》
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作者：
Fran\\c{c}ois Legendre (ERUDITE), Djibril Togola (ERUDITE)
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最新提交年份：
2015
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英文摘要：
This paper solves the dynamic portfolio choice problem. Using an explicit solution with a power utility, we construct a bridge between a continuous and discrete VAR model to assess portfolio sensitivities. We find, from a well analyzed example that the optimal allocation to stocks is particularly sensitive to Sharpe ratio. Our quantitative analysis highlights that this sensitivity increases when the risk aversion decreases and/or when the time horizon increases. This finding explains the low accuracy of discrete numerical methods especially along the tails of the unconditional distribution of the state variable.
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中文摘要：
本文解决了动态投资组合选择问题。利用电力公司的显式解决方案，我们在连续和离散VAR模型之间建立了一座桥梁，以评估投资组合的敏感性。通过一个分析充分的例子，我们发现股票的最优配置对夏普比率特别敏感。我们的定量分析强调，当风险规避减少和/或时间范围增加时，这种敏感性增加。这一发现解释了离散数值方法的低精度，尤其是在状态变量无条件分布的尾部。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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