Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
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Publication:322571
DOI10.1016/J.EJOR.2015.10.015zbMATH Open1348.91250OpenAlexW1937585961MaRDI QIDQ322571FDOQ322571
Authors: D. M. Dang, P. A. Forsyth 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.015
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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)
- Across-time risk-aware strategies for outperforming a benchmark
- On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
- TWO STAGE DECUMULATION STRATEGIES FOR DC PLAN INVESTORS
- Simulating risk measures via asymptotic expansions for relative errors
- The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- BEATING A CONSTANT WEIGHT BENCHMARK: EASIER DONE THAN SAID
- A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
- A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Optimal pairs trading with dynamic mean-variance objective
- Portfolio selection with exploration of new investment assets
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- The self-coordination mean-variance strategy in continuous time
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix
- Behavioral mean-variance portfolio selection
- PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
- OPTIMAL CONTROL OF THE DECUMULATION OF A RETIREMENT PORTFOLIO WITH VARIABLE SPENDING AND DYNAMIC ASSET ALLOCATION
- Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
- OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE
- Short term decumulation strategies for underspending retirees
- Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Risk and potential: an asset allocation framework with applications to robo-advising
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- Understanding dynamic mean variance asset allocation
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- Designing stablecoins
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
- Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Complete markets do not allow free cash flow streams
- Survey on multi-period mean-variance portfolio selection model
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