Time consistent policy of multi-period mean-variance
From MaRDI portal
Publication:2515277
DOI10.3934/jimo.2016.12.229zbMath1318.91178MaRDI QIDQ2515277
Zhiping Chen, Gang Li, Jia Liu
Publication date: 31 July 2015
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016.12.229
time inconsistency; mean-variance; Bellman's optimality principle; Markovian markets; policy revision
93E20: Optimal stochastic control
49N10: Linear-quadratic optimal control problems
91G10: Portfolio theory
Related Items
Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause, Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
Cites Work
- Risk-averse dynamic programming for Markov decision processes
- Continuous time mean variance asset allocation: a time-consistent strategy
- On a time consistency concept in risk averse multistage stochastic programming
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Shortfall as a risk measure: properties, optimization and applications
- Time consistency conditions for acceptability measures, with an application to tail value at risk
- Portfolio selection in stochastic markets with exponential utility functions
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- On pricing barrier options with regime switching
- Optimal stochastic investment games under Markov regime switching market
- Optimal investment policy in the time consistent mean-variance formulation
- Coherent multiperiod risk adjusted values and Bellman's principle
- Dynamic coherent risk measures
- Portfolio optimization in stochastic markets
- Time consistent dynamic risk measures
- Convex risk measures for portfolio optimization and concepts of flexibility
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION