Understanding dynamic mean variance asset allocation
From MaRDI portal
Publication:323338
DOI10.1016/j.ejor.2016.04.003zbMath1346.91213OpenAlexW3123049837MaRDI QIDQ323338
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.2016.04.003
Related Items
Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix ⋮ Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies ⋮ Optimal dynamic longevity hedge with basis risk ⋮ Estimation of the global minimum variance portfolio in high dimensions ⋮ Behavioral mean-variance portfolio selection
Cites Work
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
- Robust optimization policy benchmarks and modeling errors in natural gas
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Comparative statics under uncertainty: The case of mean-variance preferences.
- Risk aversion and allocation to long-term bonds.
- Portfolio selection: a review
- Robust strategies for natural gas procurement
- Dynamic mean-variance portfolio selection with borrowing constraint
- The instantaneous capital market line
- Mean-variance approximations to expected utility
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- Optimal multi-period mean-variance policy under no-shorting constraint
- Dynamic Asset Allocation in a Mean-Variance Framework
- Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
- Option and Futures Evaluation With Deterministic Volatilities1
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- On optimal portfolio choice under stochastic interest rates