CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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Publication:3370587
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- scientific article; zbMATH DE number 2133120
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- Continuous-time Markowitz's model with constraints on wealth and portfolio
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
Cites work
- scientific article; zbMATH DE number 51121 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Backward Stochastic Differential Equations in Finance
- Forward-backward stochastic differential equations and their applications
- Mathematics of financial markets
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimum consumption and portfolio rules in a continuous-time model
Cited in
(only showing first 100 items - show all)- Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
- Investment strategies and compensation of a mean-variance optimizing fund manager
- Income drawdown option with minimum guarantee
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- A varying terminal time mean-variance model
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Delegated dynamic portfolio management under mean-variance preferences
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- Time-varying mean-variance portfolio selection problem solving via LVI-PDNN
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Continuous-time safety-first portfolio selection with jump-diffusion processes
- Equilibrium strategies for alpha-maxmin expected utility maximization
- The optimal portfolio selection model under \(g\)-expectation
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Cone-constrained continuous-time Markowitz problems
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Portfolio theory for squared returns correlated across time
- Time-consistent investment strategy under partial information
- Mean-variance asset-liability management under constant elasticity of variance process
- A regular equilibrium solves the extended HJB system
- Quadratic minimization with portfolio and intertemporal wealth constraints
- Non-smooth analysis method in optimal investment-BSDE approach
- A note on \(\mathcal{P}\)- vs. \(\mathcal{Q}\)-expected loss portfolio constraints
- Dynamic portfolio choice when risk is measured by weighted VaR
- Quadratic minimization with portfolio and terminal wealth constraints
- Constrained utility deviation-risk optimization and time-consistent HJB equation
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Optimal pairs trading with dynamic mean-variance objective
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- A note on monotone mean-variance preferences for continuous processes
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- Optimal portfolio selection of mean-variance utility with stochastic interest rate
- Mean-risk portfolio management with bankruptcy prohibition
- Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
- Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
- Utility-deviation-risk portfolio selection
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- Ruin problems and myopic portfolio optimization in continuous trading
- Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
- Continuous-time mean-variance portfolios: a comparison
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Continuous-time mean-variance efficiency: the 80\% rule
- Mean-variance portfolio selection for a non-life insurance company
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- Continuous-time Markowitz's model with constraints on wealth and portfolio
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan
- Continuous time mean variance asset allocation: a time-consistent strategy
- Portfolio optimization when expected stock returns are determined by exposure to risk
- Multi-period portfolio optimization for asset-liability management with bankrupt control
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Optimal portfolio selection strategies under some constraints
- Constrained dynamic optimality and binomial terminal wealth
- A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints
- Dynamic portfolio optimization with risk control for absolute deviation model
- Numerical methods for portfolio selection with bounded constraints
- Robust asset allocation for long-term target-based investing
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Optimal investment policy in the time consistent mean-variance formulation
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
- Optimal multi-period mean-variance policy under no-shorting constraint
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Investing equally in risk
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Asset-liability management under the safety-first principle
- Optimal reinsurance problems with extrapolative claim expectation
- Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
- Continuous-time portfolio selection under ambiguity
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints
- Mean-variance portfolio optimization with state-dependent risk aversion
- Continuous-time mean-variance portfolio selection with random horizon
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- Optimal investment for an insurer: the martingale approach
- Asset and liability management under a continuous-time mean-variance optimization framework
- Behavioral mean-variance portfolio selection
- Dynamic safety first expected utility model
- Comparison of mean variance like strategies for optimal asset allocation problems
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Implications of the Sharpe ratio as a performance measure in multi-period settings
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