Continuous time mean variance asset allocation: a time-consistent strategy (Q621709): Difference between revisions

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+CONVERGENCE OF NUMERICAL SCHEMES FOR PARABOLIC EQUATIONS ARISING IN FINANCE THEORY
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+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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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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+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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+Structure preserving stochastic integration schemes in interest rate derivative modeling
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+Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
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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 solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
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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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