Continuous-time mean-variance portfolios: a comparison

DOI10.1080/02331934.2011.619265MaRDI QIDQ2868909zbMATH OpenOpenAlexFDO

Authors Özge Sezgin Alp, Ralf Korn

Publication date 19 December 2013

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2011.619265

zbMATH Keywords

mean-variance portfolio optimization\(L^2\)-projectioncontinuous-time Markowitz problemLindberg parameterization

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• Approximating random variables by stochastic integrals
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-time mean-variance efficiency: the 80\% rule
• Continuous-time mean-variance portfolio optimization in a jump-diffusion market
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time portfolio optimization under terminal wealth constraints
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
• Some applications of L2-hedging with a non-negative wealth process
• The relaxed investor and parameter uncertainty

Cited in

(8)

• Diversified Portfolios in Continuous Time *
• A mean/variance approach to long-term fixed-income portfolio allocation
• scientific article; zbMATH DE number 5713277 (Why is no real title available?)
• Investing equally in risk
• Continuous-time mean-variance portfolio optimization in a jump-diffusion market
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
• Continuous time mean-variance-utility portfolio problem and its equilibrium strategy
• Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

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