Pages that link to "Item:Q5704066"
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The following pages link to Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (Q5704066):
Displayed 34 items.
- Investing equally in risk (Q354660) (← links)
- Stochastic \(H_2/H_\infty\) control with random coefficients (Q379901) (← links)
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (Q450712) (← links)
- Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
- Portfolio optimization when expected stock returns are determined by exposure to risk (Q605869) (← links)
- Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
- Implications of the Sharpe ratio as a performance measure in multi-period settings (Q844669) (← links)
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (Q927920) (← links)
- Optimal investment for an insurer: the martingale approach (Q995514) (← links)
- Continuous-time mean-variance efficiency: the 80\% rule (Q997400) (← links)
- A new look at the Lagrange method for continuous-time stochastic optimization (Q1934408) (← links)
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer (Q1955571) (← links)
- Portfolio selection with jumps under regime switching (Q1958452) (← links)
- Mutual fund theorem for continuous time markets with random coefficients (Q2015032) (← links)
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations (Q2268069) (← links)
- A class of portfolio selection with a four-factor futures price model (Q2271822) (← links)
- Mean-variance hedging on uncertain time horizon in a market with a jump (Q2441393) (← links)
- Continuous-time mean-variance portfolio selection with random horizon (Q2441394) (← links)
- Solvability of indefinite stochastic Riccati equations and linear quadratic optimal control problems (Q2454166) (← links)
- FBSDE approach to utility portfolio selection in a market with random parameters (Q2479338) (← links)
- Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints (Q2871414) (← links)
- The premium of dynamic trading (Q2994858) (← links)
- Investment with Sequence Losses in an Uncertain Environment and Mean-Variance Hedging (Q3423695) (← links)
- Convex duality in constrained mean-variance portfolio optimization (Q3435391) (← links)
- Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints (Q3578798) (← links)
- Mean variance and goal achieving portfolio for discrete-time market with currently observable source of correlations (Q3580015) (← links)
- The Mean-Variance Hedging of a Defaultable Option with Partial Information (Q3592751) (← links)
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (Q4906533) (← links)
- Mean–variance efficiency with extended CIR interest rates (Q5391296) (← links)
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (Q5411392) (← links)
- Change of filtrations and mean–variance hedging (Q5433511) (← links)
- MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (Q5472785) (← links)