The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065): Difference between revisions

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scientific article

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English	The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors	scientific article

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scholarly article

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The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (English)

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European Journal of Operational Research

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publication date

3 June 2021

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zbMATH Keywords

asset allocation

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constrained optimal control

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time-consistent

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mean-variance

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Pieter M. Van Staden

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Peter A. I. Forsyth

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MaRDI profile type

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full work available at URL

https://doi.org/10.1016/j.ejor.2020.07.021

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Sensitivity Analysis for Mean-Variance Portfolio Problems

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A theory of Markovian time-inconsistent stochastic control in discrete time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Sparse and stable Markowitz portfolios

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Block bootstrap methods and the choice of stocks for the long run

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On pre-commitment aspects of a time-consistent strategy for a mean-variance investor

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ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION

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Nonparametric tests for pathwise properties of semimartingales

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Financial Modelling with Jump Processes

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

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Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach

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Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach

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The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management

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Convergence of the embedded mean-variance optimal points with discrete sampling

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING

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Worst-case robust decisions for multi-period mean-variance portfolio optimization

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Recent developments in robust portfolios with a worst-case approach

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A Jump-Diffusion Model for Option Pricing

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Dynamic mean-variance portfolio analysis under model risk

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

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A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans

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Time-consistent investment strategy under partial information

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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

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Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information

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Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

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Option pricing when underlying stock returns are discontinuous

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Optimal Control of Conditional Value-at-Risk in Continuous Time

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Optimal mean-variance portfolio selection

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Stocks, bonds and the investment horizon: a test of time diversification on the French market

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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model

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Robust asset allocation

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Time-consistent mean-variance portfolio optimization: a numerical impulse control approach

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Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

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On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

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Continuous time mean variance asset allocation: a time-consistent strategy

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

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Multi‐period mean variance portfolio selection under incomplete information

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Mean-variance asset-liability management under constant elasticity of variance process

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

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Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1016/J.EJOR.2020.07.021

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Sitelinks

Mathematics(1 entry)

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