The premium of dynamic trading

DOI10.1080/14697681003685589zbMath1210.91119arXiv0906.0999OpenAlexW2044400665MaRDI QIDQ2994858

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Publication date: 29 April 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.0999

zbMATH Keywords

Sharpe ratioportfolio selectioncontinuous timemean-variance efficiency

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (9)

The premium of dynamic trading in a discrete-time setting ⋮ Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset ⋮ Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ The optimal mean variance problem with inflation ⋮ Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset ⋮ Income drawdown option with minimum guarantee ⋮ Robust investment strategies with two risky assets ⋮ On efficiency of mean–variance based portfolio selection in defined contribution pension schemes

Cites Work

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• Continuous-time mean-variance efficiency: the 80\% rule
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Dynamic Asset Allocation in a Mean-Variance Framework
• Continuous-Time Markowitz's Model with Transaction Costs
• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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