Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
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Applications of statistics to actuarial sciences and financial mathematics (62P05) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited in
(46)- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Complete markets do not allow free cash flow streams
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Short term decumulation strategies for underspending retirees
- The self-coordination mean-variance strategy in continuous time
- Across-time risk-aware strategies for outperforming a benchmark
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Optimal asset allocation for outperforming a stochastic benchmark target
- Understanding dynamic mean variance asset allocation
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Optimal performance of a tontine overlay subject to withdrawal constraints
- The 4\% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Two stage decumulation strategies for dc plan investors
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- Robust asset allocation for long-term target-based investing
- A stochastic control approach to defined contribution plan decumulation: \textit{``The nastiest, hardest problem in finance}
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- Behavioral mean-variance portfolio selection
- Optimal pairs trading with dynamic mean-variance objective
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Simulating risk measures via asymptotic expansions for relative errors
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Management of portfolio depletion risk through optimal life cycle asset allocation
- Portfolio selection with exploration of new investment assets
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- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- Designing stablecoins
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