On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
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Cites work
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- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- Mean-variance portfolio optimization with state-dependent risk aversion
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- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
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Cited in
(14)- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Risk and potential: an asset allocation framework with applications to robo-advising
- Continuous-time portfolio optimization for absolute return funds
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Multiperiod mean conditional value at risk asset allocation: is it advantageous to be time consistent?
- Continuous time mean variance asset allocation: a time-consistent strategy
- Precommitted strategies with initial-time and intermediate-time value-at-risk constraints
- Robust portfolio optimization: a categorized bibliographic review
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