Optimal investment policy in the time consistent mean-variance formulation
From MaRDI portal
Publication:2442511
DOI10.1016/j.insmatheco.2012.11.007zbMath1284.91514OpenAlexW1971155245MaRDI QIDQ2442511
Ju-e Guo, Zhiping Chen, Gang Li
Publication date: 3 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.11.007
Lagrange multiplier methodmean-variancetime consistencyBellman's optimality principleoptimal investment policy
Related Items
\(l_1\)-regularization for multi-period portfolio selection ⋮ The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion ⋮ Sparse Approximations with Interior Point Methods ⋮ Recursive risk measures under regime switching applied to portfolio selection ⋮ Time consistent multi-period worst-case risk measure in robust portfolio selection ⋮ On pre-commitment aspects of a time-consistent strategy for a mean-variance investor ⋮ Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns ⋮ Multiperiod mean-standard-deviation time consistent portfolio selection ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ Optimal initial coin offering under speculative token trading ⋮ Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ Composite time-consistent multi-period risk measure and its application in optimal portfolio selection ⋮ Time-consistent investment policies in Markovian markets: a case of mean-variance analysis ⋮ Time consistent policy of multi-period mean-variance ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Risk-averse dynamic programming for Markov decision processes
- Continuous time mean variance asset allocation: a time-consistent strategy
- On a time consistency concept in risk averse multistage stochastic programming
- Dynamic monetary risk measures for bounded discrete-time processes
- Shortfall as a risk measure: properties, optimization and applications
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Dynamic portfolio optimization with risk control for absolute deviation model
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Recursiveness of indifference prices and translation-invariant preferences
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Conditional and dynamic convex risk measures
- Time consistent dynamic risk measures
- Convex risk measures for portfolio optimization and concepts of flexibility
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Convex risk measures and the dynamics of their penalty functions
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Stationary Ordinal Utility and Impatience
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS