Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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Cites work
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- A jump-diffusion model for option pricing
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Analysis of a penalty method for pricing a guaranteed minimum withdrawal benefit (GMWB)
- Applied stochastic control of jump diffusions
- Approximating value functions for controlled degenerate diffusion processes by using piece-wise constant policies.
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Comparison of mean variance like strategies for optimal asset allocation problems
- Continuous time mean variance asset allocation: a time-consistent strategy
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 4205918 (Why is no real title available?)
- Lévy Processes and Stochastic Calculus
- Maximal Use of Central Differencing for Hamilton–Jacobi–Bellman PDEs in Finance
- Mean-variance portfolio optimization with state-dependent risk aversion
- Nonparametric tests for pathwise properties of semimartingales
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- On time-inconsistent stochastic control in continuous time
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal trade execution: a mean quadratic variation approach
- Option pricing when underlying stock returns are discontinuous
- Quantitative risk management. Concepts, techniques and tools
- Robust numerical methods for contingent claims under jump diffusion processes
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
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- Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting
- Time-inconsistent stochastic linear-quadratic control
- User’s guide to viscosity solutions of second order partial differential equations
Cited in
(13)- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Dynamic mean-variance problem with frictions
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Optimal asset allocation for DC pension decumulation with a variable spending rule
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- A semi-Lagrangian -monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
- Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
- Optimal smooth consumption and its trade-offs
- A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization
- Environmental management and restoration under unified risk and uncertainty using robustified dynamic Orlicz risk
- Multiperiod mean-buffered probability of exceedance in defined contribution portfolio optimization
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