A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection (Q5080645): Difference between revisions

@@ Property / cites work @@
+Entropic value-at-risk: a new coherent risk measure
+Normal rank
@@ Property / cites work @@
+Mean Field Games and Mean Field Type Control Theory
+Normal rank
@@ Property / cites work @@
+A Mean-Variance Approach to Capital Investment Optimization
+Normal rank
@@ Property / cites work @@
+Mean field verification theorem
@@ Property / cites work: Mean field verification theorem / rank @@
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+A new method for mean-variance portfolio optimization with cardinality constraints
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time
+Normal rank
@@ Property / cites work @@
+Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+years of portfolio optimization: practical challenges and current trends
+Normal rank
@@ Property / cites work @@
+Dynamic programming for mean-field type control
@@ Property / cites work: Dynamic programming for mean-field type control / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
+Normal rank
@@ Property / cites work @@
+Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+Utility-Deviation-Risk Portfolio Selection
@@ Property / cites work: Utility-Deviation-Risk Portfolio Selection / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank