Multiperiod mean-standard-deviation time consistent portfolio selection
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Publication:2409276
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Cites work
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- An improved closed-form solution for the constrained minimization of the root of a quadratic functional
- Inconsistent investment and consumption problems
- Mean-variance portfolio optimization with state-dependent risk aversion
- Minimization of the root of a quadratic functional under an affine equality constraint
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment policy in the time consistent mean-variance formulation
- Portfolio optimization in stochastic markets
- Safety First and the Holding of Assets
- Time consistency and information monotonicity of multiperiod acceptability functionals
- Time consistent dynamic risk measures
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
Cited in
(13)- The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion
- Time consistent multi-period worst-case risk measure in robust portfolio selection
- Decision on risk-averse dual-channel supply chain under demand disruption
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- scientific article; zbMATH DE number 6531505 (Why is no real title available?)
- scientific article; zbMATH DE number 1045282 (Why is no real title available?)
- scientific article; zbMATH DE number 910807 (Why is no real title available?)
- Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
- Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
- scientific article; zbMATH DE number 2219397 (Why is no real title available?)
- On asymptotic log-optimal portfolio optimization
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
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