Simplified mean-variance portfolio optimisation (Q1938980): Difference between revisions

@@ Property / DOI @@
-.1007/s11579-012-0067-4
@@ Property / DOI: 10.1007/s11579-012-0067-4 / rank @@
-Normal rank
@@ Property / OpenAlex ID @@
+W3122519464
@@ Property / OpenAlex ID: W3122519464 / rank @@
+Normal rank
@@ Property / cites work @@
+Financial markets theory. Equilibrium, efficiency and information
+Normal rank
@@ Property / cites work @@
+Rational hedging and valuation of integrated risks under constant absolute risk aversion.
+Normal rank
@@ Property / cites work @@
+Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
+Normal rank
@@ Property / cites work @@
+Q3158097
@@ Property / cites work: Q3158097 / rank @@
+Normal rank
@@ Property / cites work @@
+Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
+Normal rank
@@ Property / cites work @@
+On the law of one price
@@ Property / cites work: On the law of one price / rank @@
+Normal rank
@@ Property / cites work @@
+Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
+Normal rank
@@ Property / cites work @@
+The Role of Conditioning Information in Deducing Testable Restrictions Implied by Dynamic Asset Pricing Models
+Normal rank
@@ Property / cites work @@
+Q3613975
@@ Property / cites work: Q3613975 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3158925
@@ Property / cites work: Q3158925 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3994411
@@ Property / cites work: Q3994411 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Products of trees for investment analysis
@@ Property / cites work: Products of trees for investment analysis / rank @@
+Normal rank
@@ Property / cites work @@
+Projection pricing
@@ Property / cites work: Projection pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q4001511
@@ Property / cites work: Q4001511 / rank @@
+Normal rank
@@ Property / cites work @@
+Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences
+Normal rank
@@ Property / cites work @@
+On transformations of actuarial valuation principles.
+Normal rank
@@ Property / cites work @@
+On quadratic hedging in continuous time
@@ Property / cites work: On quadratic hedging in continuous time / rank @@
+Normal rank
@@ Property / cites work @@
+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
+Normal rank
@@ Property / cites work @@
+Approximation pricing and the variance-optimal martingale measure
+Normal rank
@@ Property / cites work @@
+RISKY OPTIONS SIMPLIFIED
@@ Property / cites work: RISKY OPTIONS SIMPLIFIED / rank @@
+Normal rank
@@ Property / cites work @@
+From actuarial to financial valuation principles
@@ Property / cites work: From actuarial to financial valuation principles / rank @@
+Normal rank
@@ Property / cites work @@
+Q2771116
@@ Property / cites work: Q2771116 / rank @@
+Normal rank
@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+Claim hedging in an incomplete market
@@ Property / cites work: Claim hedging in an incomplete market / rank @@
+Normal rank
@@ Property / cites work @@
+The mean-variance investment problem in a constrained financial market
+Normal rank
@@ Property / cites work @@
+MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
+Normal rank
@@ Property / cites work @@
+Q4407579
@@ Property / cites work: Q4407579 / rank @@
+Normal rank
@@ Property / DOI @@
+.1007/S11579-012-0067-4
@@ Property / DOI: 10.1007/S11579-012-0067-4 / rank @@
+Normal rank