A Simple Procedure to Incorporate Predictive Models in Stochastic Investment Models

William T. Ziemba, Sebastien Lleo and Mikhail Zhitlukhin

Chapter 10 in Stock Market Crashes:Predictable and Unpredictable and What to do About Them, 2017, pp 235-245 from World Scientific Publishing Co. Pte. Ltd.

Abstract: Stochastic optimization has found a fertile ground for applications in finance. One of the greatest challenges remains to incorporate a set of scenarios that accurately models the behavior of financial markets, and in particular their behavior during crashes and crises, without sacrificing the tractability of the optimal investment policy. This chapter shows how to incorporate return predictions and crash predictions as views into continuous time asset allocation models.

Keywords: Stock Market Crashes; Brexit; Trump; Financial Bubbles (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2017
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.worldscientific.com/doi/pdf/10.1142/9789813223851_0010 (application/pdf)
https://www.worldscientific.com/doi/abs/10.1142/9789813223851_0010 (text/html)
Ebook Access is available upon purchase.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:wschap:9789813223851_0010

Ordering information: This item can be ordered from

Access Statistics for this chapter

More chapters in World Scientific Book Chapters from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().