Hybrid strategy in multiperiod mean-variance framework

DOI10.1007/S11590-022-01885-7MaRDI QIDQ2688929zbMATH OpenOpenAlexFDO

Authors Xiangyu Cui, Y. Shi, Mingjia Zhu, Duan Li

Publication date 6 March 2023

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-022-01885-7

zbMATH Keywords

limited ability of conducting self-controlmultiperiod mean-variance modelplanner-middleman-doer gametime inconsistency

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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Cites work

• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Continuous time mean variance asset allocation: a time-consistent strategy
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Investment and consumption without commitment
• Mean-variance portfolio optimization with state-dependent risk aversion
• Optimal dividend strategies with time-inconsistent preferences
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
• Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
• Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
• Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
• Time-inconsistent stochastic linear-quadratic control

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