Article citationsMore>>

S. Vanduffel, A. Chernih, M. Maj and W. Schoutens, “A Note on the Suboptimality of Path-Dependent Pay-Offs in Lévy Markets,” Applied Mathematical Finance, Vol. 16, No. 4, 2009, pp. 315-330.
http://dx.doi.org/10.1080/13504860802639360

has been cited by the following article:

• TITLE: An Extension of Some Results Due to Cox and Leland

  AUTHORS: Andrew P. Leung, Wen Shi

  KEYWORDS: Path Independence; Dynamic Asset Allocation; Dynamic Optimization; Calculus of Variations

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.4, October 17, 2013

  ABSTRACT: We investigate an optimal portfolio allocation problem between a risky and a risk-free asset, as in [1]. They obtained explicit conditions for path-independence and optimality of allocation strategies when the price of the risky asset follows a geometric Brownian motion with constant asset characteristics. This paper analyzes and extends their results for dynamic investment strategies by allowing for non-constant returns and volatility. We adopt a continuous-time approach and appeal to well established results in stochastic calculus for doing so.