Naïve Markowitz policies
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Recommendations
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Time consistent policy of multi-period mean-variance
- scientific article; zbMATH DE number 1944278
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Portfolio selection with regime-switching and state-dependent preferences
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 efficiency: the 80\% rule
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Mean-variance portfolio optimization with state-dependent risk aversion
- Mean-variance portfolio selection with dynamic targets for expected terminal wealth
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal mean-variance portfolio selection
- Short Communication: Is a Sophisticated Agent Always a Wise One?
- Time-consistent stopping under decreasing impatience
- Time-inconsistent stochastic linear-quadratic control
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
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