Continuous-time mean-variance portfolio selection: a stochastic LQ framework
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- scientific article; zbMATH DE number 1642351
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- Equilibrium strategies for the mean-variance investment problem over a random horizon
- Multiperiod mean-variance optimization with intertemporal restrictions
- Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations
- Mean-variance portfolio selection for a non-life insurance company
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- Continuous-time mean-risk portfolio selection
- Deterministic mean-variance-optimal consumption and investment
- Management of portfolio depletion risk through optimal life cycle asset allocation
- An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
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- Precommitted investment strategy versus time-consistent investment strategy for a dual risk model
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal multi-period mean-variance policy under no-shorting constraint
- A NOTE ON SEMIVARIANCE
- Linear-quadratic-Gaussian mean-field controls of social optima
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- Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
- Comparison of mean variance like strategies for optimal asset allocation problems
- Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
- Across-time risk-aware strategies for outperforming a benchmark
- Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
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- A unified algorithm framework for mean-variance optimization in discounted Markov decision processes
- Continuous-time mean-variance portfolio selection under the CEV process
- Precommitted investment strategy versus time-consistent investment strategy for a general risk model with diffusion
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- The premium of dynamic trading
- Inconsistent investment and consumption problems
- Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
- Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- On stochastic maximum principle for risk-sensitive of fully coupled forward-backward stochastic control of mean-field type with application
- Linear quadratic mean field social optimization: Asymptotic solvability and decentralized control
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Mean-variance investment and contribution decisions for defined benefit pension plans in a stochastic framework
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Robust time-inconsistent stochastic linear-quadratic control with drift disturbance
- Mean-variance portfolio selection with dynamic targets for expected terminal wealth
- Bayesian learning for the Markowitz portfolio selection problem
- On continuous-time constrained stochastic linear-quadratic control
- The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Time-inconsistent linear-quadratic non-zero sum stochastic differential games with random jumps
- Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
- Backward Stackelberg differential game with constraints: a mixed terminal-perturbation and linear-quadratic approach
- Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models
- Maximum principle for forward-backward stochastic control system with random jumps and applications to finance
- An HJB approach to a general continuous-time mean-variance stochastic control problem
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- Mean-variance asset-liability management with asset correlation risk and insurance liabilities
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Continuous time mean variance asset allocation: a time-consistent strategy
- OPTIMAL CONSTANT-REBALANCED PORTFOLIO INVESTMENT STRATEGIES FOR DYNAMIC PORTFOLIO SELECTION
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance.
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Asset-liability management with state-dependent utility in the regime-switching market
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- On time consistency for mean-variance portfolio selection
- Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
- Optimality of excess-loss reinsurance under a mean-variance criterion
- A maximum principle for SDEs of mean-field type
- Mean-variance portfolio selection of cointegrated assets
- A class of continuous-time portfolio selection with liability under jump-diffusion processes
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Constrained utility deviation-risk optimization and time-consistent HJB equation
- A class of portfolio selection with a four-factor futures price model
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Near-optimal mean-variance controls under two-time-scale formulations and applications
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- G-expected utility maximization with ambiguous equicorrelation
- Mean-risk portfolio management with bankruptcy prohibition
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Maximum principle for mean-field SDEs under model uncertainty
- Indefinite quadratic with linear costs optimal control of Markov jump with multiplicative noise systems
- Continuous-time mean-variance efficiency: the 80\% rule
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Pairs trading under delayed cointegration
- Goal achieving probabilities of cone-constrained mean-variance portfolios
- Mean-variance hedging with basis risk
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