Dynamic Asset Allocation in a Mean-Variance Framework
From MaRDI portal
Publication:2784078
DOI10.1287/mnsc.44.11.S79zbMath0999.91037OpenAlexW1975765664MaRDI QIDQ2784078
Roland Portrait, Isabelle Bajeux-Besnainou
Publication date: 17 April 2002
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.44.11.s79
Related Items
Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion, A varying terminal time mean-variance model, Implications of the Sharpe ratio as a performance measure in multi-period settings, Understanding dynamic mean variance asset allocation, Optimal reinsurance problems with extrapolative claim expectation, Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth, Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework, Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem, Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization, Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix, Optimal asset allocation under search frictions and stochastic interest rate, Static Markowitz mean-variance portfolio selection model with long-term bonds, Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model, Optimal portfolio selection of mean-variance utility with stochastic interest rate, Credibilitic mean-variance model for multi-period portfolio selection problem with risk control, The premium of dynamic trading, Mean–variance efficiency with extended CIR interest rates, Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach, Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability, Investing for Retirement, Optimal portfolio management with American capital guarantee, Multiperiod mean-variance efficient portfolios with endogenous liabilities, Stochastic differential portfolio games with Duffie‐Kan interest rate, Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences, MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION, Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework, Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model, Dynamic asset allocation with mean variance preferences and a solvency constraint, QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION, QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION, Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate, Portfolio theory for squared returns correlated across time, Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks, An optimal investment strategy in bank management, Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns, Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints, On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
Uses Software
