Dynamic portfolio choice without cash

DOI10.1080/14697688.2018.1465580MaRDI QIDQ5234295zbMATH OpenOpenAlexWikidataFDO

Authors Chi Kin Lam, Guosheng Yin, Yuhong Xu

Publication date 26 September 2019

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2018.1465580

zbMATH Keywords

dynamic asset allocationequilibrium controlmean-variance portfolio selectiontime inconsistency

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• A theory of Markovian time-inconsistent stochastic control in discrete time
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Investment and consumption without commitment
• Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level
• Mean-variance portfolio optimization with state-dependent risk aversion
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
• On the Existence of a Consistent Course of Action when Tastes are Changing
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Pricing stock and bond derivatives with a multi-factor Gaussian model
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting
• Time-inconsistent stochastic linear-quadratic control
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(8)

• Robust investment strategies with two risky assets
• Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint
• Pairs trading under delayed cointegration
• Dynamic asset-liability management problem in a continuous-time model with delay
• Rebalance Your Portfolio Without Selling
• Portfolio management without probabilities or statistics
• Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis
• Time-consistent investment and reinsurance strategies under thinning-dependence structure

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