Better than pre-committed optimal mean-variance policy in a jump diffusion market

DOI10.1007/S00186-017-0572-6MaRDI QIDQ2407984zbMATH OpenOpenAlexFDO

Authors Y. Shi, Xun Li, Xiangyu Cui

Publication date 9 October 2017

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

Full work available at URL https://doi.org/10.1007/s00186-017-0572-6

zbMATH Keywords

jump diffusion marketmean field approachpre-committed optimal mean-variance policysemi-self-financing revised policytime consistency in efficiency

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Applied stochastic control of jump diffusions.
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Coherent multiperiod risk adjusted values and Bellman's principle
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Golden Eggs and Hyperbolic Discounting
• Mean-Variance Hedging When There Are Jumps
• Mean-variance portfolio optimization with state-dependent risk aversion
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Risk measures via g-expectations
• The mean-variance investment problem in a constrained financial market
• Time-inconsistent stochastic linear-quadratic control
• Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES

Cited in

(6)

• Mean-variance dynamic optimality for DC pension schemes
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Time inconsistency of the mean-variance optimal policy in stochastic markets and its revision
• On time consistency for mean-variance portfolio selection
• Mean-variance pre-commitment policies revisited via a mean-field technique

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