Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
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Publication:1994404
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Cites work
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- Coherent multiperiod risk adjusted values and Bellman's principle
- Conditional and dynamic convex risk measures
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- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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Cited in
(27)- Risk measurement and risk-averse control of partially observable discrete-time Markov systems
- Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Process-based risk measures and risk-averse control of discrete-time systems
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Optimal investment policy in the time consistent mean-variance formulation
- Time consistent policy of multi-period mean-variance
- Survey on multi-period mean-variance portfolio selection model
- Hybrid strategy in multiperiod mean-variance framework
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Comparison of mean variance like strategies for optimal asset allocation problems
- Time consistent utility maximization
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- scientific article; zbMATH DE number 1971066 (Why is no real title available?)
- The premium of dynamic trading in a discrete-time setting
- Time inconsistency of the mean-variance optimal policy in stochastic markets and its revision
- Risk-averse learning by temporal difference methods with Markov risk measures
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Portfolio choice with skewness preference and wealth-dependent risk aversion
- Optimal policy for a time consistent mean-variance model with regime switching
- A mean-variance approach to capital investment optimization
- Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure
- Naïve Markowitz policies
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