Better than dynamic mean-variance: time inconsistency and free cash flow stream
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Publication:4906533
DOI10.1111/J.1467-9965.2010.00461.XzbMATH Open1278.91131OpenAlexW1946848043WikidataQ57445447 ScholiaQ57445447MaRDI QIDQ4906533FDOQ4906533
Xiangyu Cui, Shouyang Wang, Shushang Zhu, Duan Li
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00461.x
Recommendations
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- Optimal investment policy in the time consistent mean-variance formulation
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Cited In (67)
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Optimal multi-period mean-variance policy under no-shorting constraint
- 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
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
- Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework
- MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS
- Dynamic approaches for some time-inconsistent optimization problems
- Monotone Sharpe ratios and related measures of investment performance
- Time Consistency of the Mean-Risk Problem
- CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
- Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case
- Robust time-inconsistent stochastic control problems
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Universal portfolio selection strategy by aggregating online expert advice
- Optimal investment policy in the time consistent mean-variance formulation
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- 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
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
- Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Time-consistent investment strategy under partial information
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
- Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Risk and potential: an asset allocation framework with applications to robo-advising
- Aggregating expert advice strategy for online portfolio selection with side information
- ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
- Recursive risk measures under regime switching applied to portfolio selection
- Mean-variance dynamic optimality for DC pension schemes
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Hybrid strategy in multiperiod mean-variance framework
- Time consistent policy of multi-period mean-variance
- Multiperiod Mean-CVaR Portfolio Selection
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- A note on monotone mean-variance preferences for continuous processes
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection
- Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk
- Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Complete markets do not allow free cash flow streams
- Survey on multi-period mean-variance portfolio selection model
- Time-Consistent Conditional Expectation Under Probability Distortion
- Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency
- TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION
- Portfolio selection with exploration of new investment assets
- The self-coordination mean-variance strategy in continuous time
- Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’
- Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
- A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems
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