Better than pre-committed optimal mean-variance policy in a jump diffusion market (Q2407984): Difference between revisions

@@ Property / cites work @@
+Coherent multiperiod risk adjusted values and Bellman's principle
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+Normal rank
@@ Property / cites work @@
+Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+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 @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
@@ Property / cites work: VALUATIONS AND DYNAMIC CONVEX RISK MEASURES / rank @@
+Normal rank
@@ Property / cites work @@
+Golden Eggs and Hyperbolic Discounting
@@ Property / cites work: Golden Eggs and Hyperbolic Discounting / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging When There Are Jumps
@@ Property / cites work: Mean-Variance Hedging When There Are Jumps / rank @@
+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 @@
+Risk measures via \(g\)-expectations
@@ Property / cites work: Risk measures via \(g\)-expectations / rank @@
+Normal rank
@@ Property / cites work @@
+The mean-variance investment problem in a constrained financial market
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank