Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
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Cites work
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- Deterministic mean-variance-optimal consumption and investment
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- How should a local regime-switching model be calibrated?
- scientific article; zbMATH DE number 2119185 (Why is no real title available?)
- Implications of the Sharpe ratio as a performance measure in multi-period settings
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- Mean-variance approximations to expected utility
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Cited in
(15)- Continuous-time Markowitz's model with constraints on wealth and portfolio
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- scientific article; zbMATH DE number 1642350 (Why is no real title available?)
- Continuous time mean-variance portfolio optimization through the mean field approach
- scientific article; zbMATH DE number 5310569 (Why is no real title available?)
- Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
- Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
- Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
- Constrained utility deviation-risk optimization and time-consistent HJB equation
- Mean-variance portfolio optimization with state-dependent risk aversion
- A game theoretical approach for finding near-optimal solutions of an optimization problem
- Equilibrium strategies for collective DC pension plans with a delayed retirement under 4/2 stochastic volatility model
- Equilibrium strategies in time-inconsistent stochastic control problems with delayed feedback.
- Strategic asset allocation in a continuous-time VAR model
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