Time-consistent mean-variance portfolio optimization: a numerical impulse control approach (Q1622505): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2018.08.003
+Normal rank
@@ Property / OpenAlex ID @@
+W2772601807
@@ Property / OpenAlex ID: W2772601807 / rank @@
+Normal rank
@@ Property / cites work @@
+A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
+Normal rank
@@ Property / cites work @@
+Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+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 optimal portfolio allocation under jump diffusion: An numerical impulse control approach
+Normal rank
@@ Property / cites work @@
+Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
+Normal rank
@@ Property / cites work @@
+Convergence of the embedded mean-variance optimal points with discrete sampling
+Normal rank
@@ Property / cites work @@
+Robust numerical methods for contingent claims under jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Time-consistent investment strategy under partial information
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
+Normal rank
@@ Property / cites work @@
+Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance portfolio selection
@@ Property / cites work: Optimal mean-variance portfolio selection / rank @@
+Normal rank
@@ Property / cites work @@
+Maximum likelihood estimation of the double exponential jump-diffusion process
+Normal rank
@@ Property / cites work @@
+Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
+Normal rank
@@ Property / cites work @@
+Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance asset-liability management with random coefficients
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
+Normal rank