Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
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Publication:2375686
DOI10.1155/2013/841627zbMATH Open1266.91096OpenAlexW2166040369WikidataQ59004787 ScholiaQ59004787MaRDI QIDQ2375686FDOQ2375686
Authors: Huiling Wu 
Publication date: 14 June 2013
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/841627
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Cites Work
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- A theory of Markovian time-inconsistent stochastic control in discrete time
- On the Existence of a Consistent Course of Action when Tastes are Changing
- Continuous time mean variance asset allocation: a time-consistent strategy
- Investment and consumption without commitment
- Mean-variance portfolio optimization with state-dependent risk aversion
Cited In (34)
- Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- On time consistency for mean-variance portfolio selection
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Multiperiod mean-CVaR portfolio selection
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Title not available (Why is that?)
- The self-coordination mean-variance strategy in continuous time
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Naïve Markowitz policies
- Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
- Nash equilibrium strategies for a defined contribution pension management
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Hybrid strategy in multiperiod mean-variance framework
- Time consistent policy of multi-period mean-variance
- Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- A paradox in time-consistency in the mean-variance problem?
- Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Timing portfolio strategies with exponential Lévy processes
- Survey on multi-period mean-variance portfolio selection model
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