create a website

Robust Solutions to the Life-Cycle Consumption Problem. (2021). Reus, Lorenzo ; Fabozzi, Frank J.
In: Computational Economics.
RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-019-09964-1.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 50

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Aissi, H., Bazgan, C., & Vanderpooten, D. (2009). Min–max and min–max regret versions of combinatorial optimization problems: A survey. European Journal of Operational Research, 197(2), 427–438.
    Paper not yet in RePEc: Add citation now
  2. Barberis, N. (2000). Investing for the long run when returns are predictable. Journal of Finance, 55(1), 225–264.

  3. Ben-Tal, A., & Nemirovski, A. (1998). Robust convex optimization. Mathematics of Operations Research, 23(4), 769–805.

  4. Ben-Tal, A., & Nemirovski, A. (1999). Robust solutions of uncertain linear programs. Operations Research Letters, 25(1), 1–13.
    Paper not yet in RePEc: Add citation now
  5. Ben-Tal, A., Boyd, S., & Nemirovski, A. (2006). Extending scope of robust optimization: Comprehensive robust counterparts of uncertain problems. Mathematical Programming, 107(1–2), 63–89.
    Paper not yet in RePEc: Add citation now
  6. Ben-Tal, A., Goryashko, A., Guslitzer, E., & Nemirovski, A. (2004). Adjustable robust solutions of uncertain linear programs. Mathematical Programming, 99(2), 351–376.
    Paper not yet in RePEc: Add citation now
  7. Ben-Tal, A., Margalit, T., & Nemirovski, A. (2000). Robust modeling of multi-stage portfolio problems. In H. Frenk, K. Roos, T. Terlaky, & S. Zhang (Eds.), High performance optimization (pp. 303–328). Boston: Springer.
    Paper not yet in RePEc: Add citation now
  8. Bertsimas, D., & Pachamanova, D. (2008). Robust multiperiod portfolio management in the presence of transaction costs. Computers & Operations Research, 35(1), 3–17.
    Paper not yet in RePEc: Add citation now
  9. Bertsimas, D., & Sim, M. (2004). The price of robustness. Operations Research, 52(1), 35–53.

  10. Bertsimas, D., Pachamanova, D., & Sim, M. (2004). Robust linear optimization under general norms. Operations Research Letters, 32(6), 510–516.
    Paper not yet in RePEc: Add citation now
  11. Bick, B., Kraft, H., & Munk, C. (2013). Solving constrained consumption-investment problems by simulation of artificial market strategies. Management Science, 59(2), 485–503.

  12. Bodie, Z., Detemple, J. B., Otruba, S., & Walter, S. (2004). Optimal consumption-portfolio choices and retirement planning. Journal of Economic Dynamics and Control, 28(6), 1115–1148.

  13. Bodie, Z., Merton, R. C., & Samuelson, W. F. (1992). Labor supply flexibility and portfolio choice in a life cycle model. Journal of Economic Dynamics and Control, 16(3–4), 427–449.

  14. Branger, N., & Hansis, A. (2012). Asset allocation: How much does model choice matter? Journal of Banking & Finance, 36(7), 1865–1882.

  15. Cai, Y. (2019). Computational methods in environmental and resource economics. Annual Review of Resource Economics, 11, 59–82.

  16. Ceria, S., & Stubbs, R. A. (2006). Incorporating estimation errors into portfolio selection: Robust portfolio construction. Journal of Asset Management, 7(2), 109–127.

  17. Chai, J., Horneff, W., Maurer, R., & Mitchell, O. S. (2011). Optimal portfolio choice over the life cycle with flexible work, endogenous retirement, and lifetime payouts. Review of Finance, 15(4), 875–907.

  18. Cocco, J. F., Gomes, F. J., & Maenhout, P. J. (2005). Consumption and portfolio choice over the life cycle. Review of Financial Studies, 18(2), 491–533.

  19. Dantzig, G. B., & Infanger, G. (1993). Multi-stage stochastic linear programs for portfolio optimization. Annals of Operations Research, 45(1), 59–76.
    Paper not yet in RePEc: Add citation now
  20. De Nardi, M., French, E., & Jones, J. B. (2010). Why do the elderly save? The role of medical expenses. Journal of Political Economy, 118(1), 39–75.

  21. Detemple, J. B., & Giannikos, C. I. (1996). Asset and commodity prices with multi-attribute durable goods. Journal of Economic Dynamics and Control, 20(8), 1451–1504.

  22. Detemple, J., & Rindisbacher, M. (2009). Dynamic asset allocation: Portfolio decomposition formula and applications. Review of Financial Studies, 23(1), 25–100.
    Paper not yet in RePEc: Add citation now
  23. Duffie, D., & Epstein, L. G. (1992). Stochastic differential utility. Econometrica, 30(2), 353–394.

  24. Dumas, B., & Luciano, E. (1991). An exact solution to a dynamic portfolio choice problem under transactions costs. Journal of Finance, 46(2), 577–595.

  25. Fabozzi, F. J., Kolm, P. N., Pachamanova, D. A., & Focardi, S. M. (2007). Robust portfolio optimization and management. New York: Wiley.
    Paper not yet in RePEc: Add citation now
  26. Fischetti, M., & Monaci, M. (2009). Light robustness. In R. K. Ahuja, R. H. Möhring, & C. D. Zaroliagis (Eds.), Robust and online large-scale optimization (pp. 61–84). Berlin: Springer.
    Paper not yet in RePEc: Add citation now
  27. Fliege, J., & Werner, R. (2014). Robust multiobjective optimization & applications in portfolio optimization. European Journal of Operational Research, 234(2), 422–433.

  28. Fourer, R., Gay, D. M., & Kernighan, B. W. (1993). AMPL. A modeling language for mathematical programming. Management Science, 36, 519–641.
    Paper not yet in RePEc: Add citation now
  29. Friedman, M. (1957). A theory of the consumption function. Cambridge: National Bureau of Economic Research, Inc.

  30. Garlappi, L., Uppal, R., & Wang, T. (2006). Portfolio selection with parameter and model uncertainty: A multi-prior approach. Review of Financial Studies, 20(1), 41–81.
    Paper not yet in RePEc: Add citation now
  31. Gregory, C., Darby-Dowman, K., & Mitra, G. (2011). Robust optimization and portfolio selection: The cost of robustness. European Journal of Operational Research, 212(2), 417–428.

  32. Guiso, L., Jappelli, T., & Terlizzese, D. (1996). Income risk, borrowing constraints, and portfolio choice. American Economic Review, 3(1), 158–172.

  33. Hindy, A., & Huang, Cf. (1993). Optimal consumption and portfolio rules with durability and local substitution. Econometrica, 61, 85–121.

  34. Homem-de Mello, T., De Matos, V. L., & Finardi, E. C. (2011). Sampling strategies and stopping criteria for stochastic dual dynamic programming: A case study in long-term hydrothermal scheduling. Energy Systems, 2(1), 1–31.
    Paper not yet in RePEc: Add citation now
  35. Kan, R., & Zhou, G. (2007). Optimal portfolio choice with parameter uncertainty. Journal of Financial and Quantitative Analysis, 42(3), 621–656.

  36. Karatzas, I., Lehoczky, J. P., Shreve, S. E., & Xu, G. L. (1991). Martingale and duality methods for utility maximization in an incomplete market. SIAM Journal on Control and Optimization, 29(3), 702–730.
    Paper not yet in RePEc: Add citation now
  37. Koijen, R. S., Nijman, T. E., & Werker, B. J. (2009). When can life cycle investors benefit from time-varying bond risk premia? Review of Financial Studies, 23(2), 741–780.
    Paper not yet in RePEc: Add citation now
  38. Koijen, R. S., Van Nieuwerburgh, S., & Yogo, M. (2016). Health and mortality delta: Assessing the welfare cost of household insurance choice. Journal of Finance, 71(2), 957–1010.

  39. Larsen, L. S., & Munk, C. (2012). The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts. Journal of Economic Dynamics and Control, 36(2), 266–293.

  40. Liu, H. (2010). Robust consumption and portfolio choice for time varying investment opportunities. Annals of Finance, 6(4), 435–454.
    Paper not yet in RePEc: Add citation now
  41. Liu, J., & Pan, J. (2003). Dynamic derivative strategies. Journal of Financial Economics, 69(3), 401–430.

  42. Modigliani, F., & Brumberg, R. (1954). Utility analysis and the consumption function: An interpretation of cross-section data. In K. K. Kurihara (Ed.), Post Keynesian Economics. New Brunswick, NJ: Rutgers University Press.
    Paper not yet in RePEc: Add citation now
  43. Philpott, A. B., & De Matos, V. L. (2012). Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion. European Journal of Operational Research, 218(2), 470–483.

  44. Polkovnichenko, V. (2006). Life-cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk. Review of Financial Studies, 20(1), 83–124.
    Paper not yet in RePEc: Add citation now
  45. Powell, W. B. (2011). Approximate dynamic programming: Solving the curses of dimensionality. Hoboken, NJ: Wiley.
    Paper not yet in RePEc: Add citation now
  46. Ramsey, F. P. (1928). A mathematical theory of saving. The Economic Journal, 38(152), 543–559.
    Paper not yet in RePEc: Add citation now
  47. Rockafellar, R. T., & Uryasev, S. (2000). Optimization of conditional value-at-risk. Journal of Risk, 2, 21–42.
    Paper not yet in RePEc: Add citation now
  48. Samuelson, P. A. (1969). Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics, 51, 239–246.

  49. Viceira, L. M. (2001). Optimal portfolio choice for long-horizon investors with nontradable labor income. Journal of Finance, 56(2), 433–470.

  50. Yogo, M. (2016). Portfolio choice in retirement: Health risk and the demand for annuities, housing, and risky assets. Journal of Monetary Economics, 80, 17–34.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Perpetual learning and stock return predictability. (2013). Zhu, Xiaoneng.
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:1:p:19-22.

    Full description at Econpapers || Download paper

  2. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. (2012). Pedersen, Thomas ; Engsted, Tom.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253.

    Full description at Econpapers || Download paper

  3. Inflation hedging portfolios in different regimes. (2011). Signori, Ombretta ; Briere, Marie.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  4. Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation. (2009). Skoulakis, Georgios.
    In: Computational Economics.
    RePEc:kap:compec:v:33:y:2009:i:2:p:193-207.

    Full description at Econpapers || Download paper

  5. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

    Full description at Econpapers || Download paper

  6. What Explains Household Stock Holdings?. (2006). Shum, Pauline ; Faig, Miquel.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-218.

    Full description at Econpapers || Download paper

  7. Optimal Decentralized Investment Management. (2006). van Binsbergen, Jules ; koijen, ralph ; Ralph S. J. Koijen, ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12144.

    Full description at Econpapers || Download paper

  8. Dynamic asset allocation and latent variables. (2006). Sorensen, Carsten ; Trolle, Anders Bjerre.
    In: Working Papers.
    RePEc:hhs:cbsfin:2004_008.

    Full description at Econpapers || Download paper

  9. Investing for the long-run in European real estate. (2006). Nicodano, Giovanna ; Guidolin, Massimo ; Fugazza, Carolina.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-028.

    Full description at Econpapers || Download paper

  10. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  11. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

  12. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

  13. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11119.

    Full description at Econpapers || Download paper

  14. Mutual Fund Performance: Skill Or Luck?. (2005). O'Sullivan, Niall ; Cuthbertson, Keith ; Nitzsche, Dirk.
    In: Money Macro and Finance (MMF) Research Group Conference 2005.
    RePEc:mmf:mmfc05:4.

    Full description at Econpapers || Download paper

  15. Solving General Equilibrium Models with Incomplete Markets and Many Assets. (2005). Hnatkovska, Viktoria ; Evans, Martin ; Martin D. D. Evans, .
    In: Working Papers.
    RePEc:geo:guwopa:gueconwpa~05-05-18.

    Full description at Econpapers || Download paper

  16. Modelling the MIB30 implied volatility surface. Does market efficiency matter?. (2005). Guidolin, Massimo ; Cassesse, Gianluca.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-008.

    Full description at Econpapers || Download paper

  17. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

  18. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

  19. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

  20. Rational Inattention: A Solution to the Forward Discount Puzzle. (2005). van Wincoop, Eric ; Bacchetta, Philippe.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5261.

    Full description at Econpapers || Download paper

  21. Explaining The Equity Risk Premium. (2005). Minford, A. Patrick ; Lungu, Laurian.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5017.

    Full description at Econpapers || Download paper

  22. The Term Structure of the Risk-Return Tradeoff. (2005). Viceira, Luis ; Campbell, John.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4914.

    Full description at Econpapers || Download paper

  23. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

  24. Optimal Portfolio Management for Individual Pension Plans. (2005). Gollier, Christian.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1394.

    Full description at Econpapers || Download paper

  25. Optimal Convergence Trading. (2004). Kargin, Vladislav.
    In: Finance.
    RePEc:wpa:wuwpfi:0401003.

    Full description at Econpapers || Download paper

  26. Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11010.

    Full description at Econpapers || Download paper

  27. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns. (2004). Valkanov, Rossen ; Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10996.

    Full description at Econpapers || Download paper

  28. Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs. (2004). Tan, Sinan ; Lynch, Anthony W..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10994.

    Full description at Econpapers || Download paper

  29. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability. (2004). Santa-Clara, Pedro ; Goyal, Amit ; Brandt, Michael W. ; Storud, Jonathan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10934.

    Full description at Econpapers || Download paper

  30. One for the Gain, Three for the Loss. (2004). Anderson, Anders E. S., .
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0020.

    Full description at Econpapers || Download paper

  31. Optimum Consumption and Portfolio Allocations under Incomplete Information. (2004). Roche, Herve.
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:79.

    Full description at Econpapers || Download paper

  32. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:433.

    Full description at Econpapers || Download paper

  33. Uncertainty in Second Moments: Implications for Portfolio Allocation. (2004). Cho, David Daewhan.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:431.

    Full description at Econpapers || Download paper

  34. Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors. (2003). Wachter, Jessica ; Sangvinatsos, Antonios.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10086.

    Full description at Econpapers || Download paper

  35. An empirical analysis of stock and bond market liquidity. (2003). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
    In: Staff Reports.
    RePEc:fip:fednsr:164.

    Full description at Econpapers || Download paper

  36. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes. (2003). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-11.

    Full description at Econpapers || Download paper

  37. Predicting the Equity Premium With Dividend Ratios. (2002). welch, ivo ; Goyal, Amit.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8788.

    Full description at Econpapers || Download paper

  38. Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon. (2002). Nilsson, Birger ; Graflund, Andreas .
    In: Working Papers.
    RePEc:hhs:lunewp:2002_008.

    Full description at Econpapers || Download paper

  39. Foreign Currency for Long-Term Investors. (2002). Viceira, Luis ; Campbell, John ; White, Josh S..
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3463.

    Full description at Econpapers || Download paper

  40. The National Pensions Reserve Fund: Pitfalls and Opportunities. (2001). Lane, Philip.
    In: Trinity Economics Papers.
    RePEc:tcd:tcduee:20017.

    Full description at Econpapers || Download paper

  41. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield. (2001). Shanken, Jay ; Tamayo, Ane.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8666.

    Full description at Econpapers || Download paper

  42. Common determinants of bond and stock market liquidity: the impact of financial crises, monetary policy, and mutual fund flows. (2001). Subrahmanyam, Avanidhar ; Sarkar, Asani ; Chordia, Tarun.
    In: Staff Reports.
    RePEc:fip:fednsr:141.

    Full description at Econpapers || Download paper

  43. Portfolio allocation in transition economies. (2001). Rockinger, Michael ; Jondeau, Eric.
    In: HEC Research Papers Series.
    RePEc:ebg:heccah:0740.

    Full description at Econpapers || Download paper

  44. A Multivariate Model of Strategic Asset Allocation. (2001). Viceira, Luis ; Campbell, John ; Chan, Yeung Lewis .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3070.

    Full description at Econpapers || Download paper

  45. Who Should Buy Long-Term Bonds?. (2001). Viceira, Luis ; Campbell, John.
    In: American Economic Review.
    RePEc:aea:aecrev:v:91:y:2001:i:1:p:99-127.

    Full description at Econpapers || Download paper

  46. Designing Social Security – A Portfolio Choice Approach. (2000). Matsen, Egil ; Thogersen, ystein .
    In: Working Paper Series.
    RePEc:nst:samfok:1102.

    Full description at Econpapers || Download paper

  47. Where Does State Street Lead? A First Look at Finance Patents, 1971-2000. (2000). Lerner, Josh.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7918.

    Full description at Econpapers || Download paper

  48. Why Stocks May Disappoint. (2000). LIU, JUN ; Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7783.

    Full description at Econpapers || Download paper

  49. Daily exchange rate behaviour and hedging of currency risk. (2000). van Dijk, Herman ; Mahieu, Ronald ; Bos, Charles.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:671-696.

    Full description at Econpapers || Download paper

  50. Econometric applications of maxmin expected utility. (2000). Chamberlain, Gary.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:625-644.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-30 22:52:47 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.