Dynamic asset allocation in a mean-variance framework
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- Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
- An optimal investment strategy in bank management
- Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
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- On the equivalence of the static and dynamic asset allocation problems
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- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- Benchmarking, portfolio insurance and technical analysis: a Monte Carlo comparison of dynamic strategies of asset allocation
- Mean-variance portfolio optimization with state-dependent risk aversion
- Stochastic differential portfolio games with Duffie‐Kan interest rate
- Optimal asset allocation under search frictions and stochastic interest rate
- Optimal reinsurance problems with extrapolative claim expectation
- Optimal portfolio management with American capital guarantee
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- The premium of dynamic trading in a discrete-time setting
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
- Dynamic asset allocation: insights from theory
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- A note on bivariate dual generalized Marshall-Olkin distributions with applications
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- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Understanding dynamic mean variance asset allocation
- Optimal portfolio selection of mean-variance utility with stochastic interest rate
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
- Multi-period asset allocation by stochastic dynamic programming
- scientific article; zbMATH DE number 2065132 (Why is no real title available?)
- Portfolio theory for squared returns correlated across time
- Optimal portfolio choice in jump-diffusion markets with longevity risk
- Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization
- On efficiency of mean-variance based portfolio selection in defined contribution pension schemes
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- Mean-variance efficiency with extended CIR interest rates
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Mean-variance Dynamic Portfolio Allocation with Transaction Costs: A Wiener Chaos Expansion Approach
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability
- Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
- On horizon-consistent mean-variance portfolio allocation
- Robust asset allocation for long-term target-based investing
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