Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
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Cites work
- scientific article; zbMATH DE number 3342731 (Why is no real title available?)
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Cited in
(15)- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Hybrid strategy in multiperiod mean-variance framework
- Precommitted investment strategy versus time-consistent investment strategy for a dual risk model
- Precommitted investment strategy versus time-consistent investment strategy for a general risk model with diffusion
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Optimal hedging with basis risk under mean-variance criterion
- Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon
- Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Performance evaluation of portfolios with fuzzy returns
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