19 citations · 43 across the 20 of their papers we have counts for
Showing q-fin.PMShow all
3 papers · 1 filter
q-fin.PM2013
Robust Portfolios and Weak Incentives in Long-Run Investments
Paolo Guasoni, Johannes Muhle-Karbe, Hao Xing
When the planning horizon is long, and the safe asset grows indefinitely, isoelastic portfolios are nearly optimal for investors who are close to isoelastic for high wealth, and no…
q-fin.PM2012
Stability of the exponential utility maximization problem with respect to preferences
Hao Xing
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general s…
q-fin.PM2011
Abstract, Classic, and Explicit Turnpikes
Paolo Guasoni, Constantinos Kardaras, Scott Robertson +1
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kin…