Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns (Q5077224): Difference between revisions

Latest revision as of 00:28, 29 July 2024

scientific article; zbMATH DE number 7528713

Language	Label	Description	Also known as
English	Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns	scientific article; zbMATH DE number 7528713

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instance of

scholarly article

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title

Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns (English)

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Communications in Statistics - Theory and Methods

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publication date

18 May 2022

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zbMATH Keywords

mean-variance portfolio optimization

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time-consistent strategy

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serially correlated returns

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portfolio performance evaluation

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2019.1636999

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cites work

Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

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A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function

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Optimal investment policy in the time consistent mean-variance formulation

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Time-consistent investment policies in Markovian markets: a case of mean-variance analysis

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Optimal multi-period mean-variance policy under no-shorting constraint

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BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

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Discrete time market with serial correlations and optimal myopic strategies

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Improved Portfolio Choice Using Second-Order Stochastic Dominance*

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An Out-of-Sample Evaluation of Dynamic Portfolio Strategies

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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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Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk

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Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows

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Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs

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Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

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Robust variable selection in partially varying coefficient single-index model

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Identifiers

DOI

10.1080/03610926.2019.1636999

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5077224

@@ Property / cites work @@
+Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
+Normal rank
@@ Property / cites work @@
+A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function
+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 @@
+Optimal multi-period mean-variance policy under no-shorting constraint
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Discrete time market with serial correlations and optimal myopic strategies
+Normal rank
@@ Property / cites work @@
+Improved Portfolio Choice Using Second-Order Stochastic Dominance*
+Normal rank
@@ Property / cites work @@
+An Out-of-Sample Evaluation of Dynamic Portfolio Strategies
+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 @@
+Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
+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
@@ Property / cites work @@
+Multiperiod portfolio optimization for asset-liability management with quadratic transaction costs
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Robust variable selection in partially varying coefficient single-index model
+Normal rank