Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion (Q1655930): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s40305-018-0191-9
+Normal rank
@@ Property / OpenAlex ID @@
+W2789592307
@@ Property / OpenAlex ID: W2789592307 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Optimal multi-period mean-variance policy under no-shorting constraint
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Asset and liability management under a continuous-time mean-variance optimization framework
+Normal rank
@@ Property / cites work @@
+Multi-period portfolio selection for asset-liability management with uncertain investment horizon
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+Time consistent strategies for mean-variance asset-liability management problems
+Normal rank
@@ Property / cites work @@
+Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
+Normal rank