Complete markets do not allow free cash flow streams

DOI10.1007/s00186-014-0489-2zbMath1318.91079OpenAlexW2092899394MaRDI QIDQ2350932

Stefanie Grether, Nicole Bäuerle

Publication date: 25 June 2015

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-014-0489-2

zbMATH Keywords

market completenesstime-inconsistencybenchmark problemmean-variance problem

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (12)

Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach ⋮ A note on monotone mean-variance preferences for continuous processes ⋮ A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ ⋮ Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Portfolio selection with exploration of new investment assets ⋮ Nash equilibria for relative investors via no-arbitrage arguments ⋮ Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies

Cites Work

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• The Relaxed Investor with Partial Information
• BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

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