Continuous-time mean-variance portfolios: a comparison
DOI10.1080/02331934.2011.619265zbMATH Open1280.91144OpenAlexW2121199633MaRDI QIDQ2868909FDOQ2868909
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
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Cites Work
- Approximating random variables by stochastic integrals
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Some applications of L2-hedging with a non-negative wealth process
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- The relaxed investor and parameter uncertainty
- Continuous-time portfolio optimization under terminal wealth constraints
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market
- Portfolio optimization when expected stock returns are determined by exposure to risk
- Continuous-time mean-variance efficiency: the 80\% rule
- Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
Cited In (8)
- A mean/variance approach to long-term fixed-income portfolio allocation
- Diversified Portfolios in Continuous Time *
- Title not available (Why is that?)
- 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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