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)- Survey on multi-period mean-variance portfolio selection model
- Management of portfolio depletion risk through optimal life cycle 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
- Optimal control of the decumulation of a retirement portfolio with variable spending and dynamic asset allocation
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- Portfolio selection with exploration of new investment assets
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- Short term decumulation strategies for underspending retirees
- Risk and potential: an asset allocation framework with applications to robo-advising
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
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- Optimal dynamic asset allocation for DC plan accumulation/decumulation: ambition-CVaR
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- Designing stablecoins
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- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Robust asset allocation for long-term target-based investing
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