Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications

By Jérôme Detemple. 2010

54 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/c811253d4bd7a4a199d32cf10c6d8f7b69b2cfb4

Citations in the corpus

• Quadratic Variance Swap Models (2016, unknown): “Chacko and Viceira (2005), Liu (2007), Aït-Sahalia, Cacho-Diaz, and Hurd (2009), Detemple and Rindisbacher (2010), among others, provide studies of optimal portfolios in partial equilibrium settings.”