Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ (Q6112770): Difference between revisions

@@ Property / cites work @@
+Complete markets do not allow free cash flow streams
+Normal rank
@@ Property / cites work @@
+Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Control Theory with Finance Applications
+Normal rank
@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+Portfolios for Long-Term Investors
@@ Property / cites work: Portfolios for Long-Term Investors / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric tests for pathwise properties of semimartingales
+Normal rank
@@ Property / cites work @@
+BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
+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 @@
+Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
+Normal rank
@@ Property / cites work @@
+Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
+Normal rank
@@ Property / cites work @@
+ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
+Normal rank
@@ Property / cites work @@
+Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
+Normal rank
@@ Property / cites work @@
+A Jump-Diffusion Model for Option Pricing
@@ Property / cites work: A Jump-Diffusion Model for Option Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+De-risking defined benefit plans
@@ Property / cites work: De-risking defined benefit plans / rank @@
+Normal rank
@@ Property / cites work @@
+Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
+Normal rank
@@ Property / cites work @@
+Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
+Normal rank
@@ Property / cites work @@
+Optimal asset allocation for outperforming a stochastic benchmark target
+Normal rank
@@ Property / cites work @@
+Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
+Normal rank
@@ Property / cites work @@
+The Stationary Bootstrap
@@ Property / cites work: The Stationary Bootstrap / rank @@
+Normal rank
@@ Property / cites work @@
+Automatic Block-Length Selection for the Dependent Bootstrap
+Normal rank
@@ Property / cites work @@
+Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
+Normal rank
@@ Property / cites work @@
+On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
+Normal rank
@@ Property / cites work @@
+Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Tail Optimality and Preferences Consistency for Intertemporal Optimization Problems
+Normal rank
@@ Property / cites work @@
+Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank