COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (Q2882690): Difference between revisions

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+Peter A. I. Forsyth
@@ Property / author: Peter A. I. Forsyth / rank @@
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+MaRDI publication profile
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@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
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+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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+A strong comparison result for the bellman equation arising in stochastic exit time control problems and its applications
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans
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+Asset and liability management under a continuous-time mean-variance optimization framework
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+User’s guide to viscosity solutions of second order partial differential equations
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+Stochastic optimal control of annuity contracts.
@@ Property / cites work: Stochastic optimal control of annuity contracts. / rank @@
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+Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
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+Dynamic mean-variance portfolio selection with borrowing constraint
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+Optimal investment choices post-retirement in a defined contribution pension scheme
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+A geometric approach to multiperiod mean variance optimization of assets and liabilities
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+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
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+Continuous-time mean-variance efficiency: the 80\% rule
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+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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+Optimum consumption and portfolio rules in a continuous-time model
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+Dynamic asset allocation with mean variance preferences and a solvency constraint
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+Numerical convergence properties of option pricing PDEs with uncertain volatility
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+Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
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+Continuous time mean variance asset allocation: a time-consistent strategy
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+Optimal investment for an insurer: the martingale approach
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+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024912500148
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@@ Property / OpenAlex ID @@
+W1975574867
@@ Property / OpenAlex ID: W1975574867 / rank @@
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