Time consistent policy of multi-period mean-variance (Q2515277): Difference between revisions

@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+Shortfall as a risk measure: properties, optimization and applications
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Time consistent dynamic risk measures
@@ Property / cites work: Time consistent dynamic risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in stochastic markets
@@ Property / cites work: Portfolio optimization in stochastic markets / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio selection in stochastic markets with exponential utility functions
+Normal rank
@@ Property / cites work @@
+Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
+Normal rank
@@ Property / cites work @@
+Optimal investment policy in the time consistent mean-variance formulation
+Normal rank
@@ Property / cites work @@
+Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
+Normal rank
@@ Property / cites work @@
+COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio selection in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+On pricing barrier options with regime switching
@@ Property / cites work: On pricing barrier options with regime switching / rank @@
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
+Normal rank
@@ Property / cites work @@
+A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Convex risk measures for portfolio optimization and concepts of flexibility
+Normal rank
@@ Property / cites work @@
+Dynamic coherent risk measures
@@ Property / cites work: Dynamic coherent risk measures / rank @@
+Normal rank
@@ Property / cites work @@
+Time consistency conditions for acceptability measures, with an application to tail value at risk
+Normal rank
@@ Property / cites work @@
+Risk-averse dynamic programming for Markov decision processes
+Normal rank
@@ Property / cites work @@
+On a time consistency concept in risk averse multistage stochastic programming
+Normal rank
@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Multi-period optimization portfolio with bankruptcy control in stochastic market
+Normal rank
@@ Property / cites work @@
+Optimal stochastic investment games under Markov regime switching market
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank