BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
From MaRDI portal
Publication:4906533
DOI10.1111/j.1467-9965.2010.00461.xzbMath1278.91131OpenAlexW1946848043WikidataQ57445447 ScholiaQ57445447MaRDI QIDQ4906533
Xiangyu Cui, Li, Duan, Shou-Yang Wang, Shu-Shang Zhu
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
Related Items (66)
Time Consistency of the Mean-Risk Problem ⋮ Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation ⋮ Universal portfolio selection strategy by aggregating online expert advice ⋮ 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 ⋮ The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management ⋮ Recursive risk measures under regime switching applied to portfolio selection ⋮ Self-coordination in time inconsistent stochastic decision problems: a planner-doer game framework ⋮ Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion ⋮ On pre-commitment aspects of a time-consistent strategy for a mean-variance investor ⋮ A Nash-Type Fictitious Game Framework to Time-Inconsistent Stochastic Control Problems ⋮ Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation ⋮ Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth ⋮ Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns ⋮ A note on monotone mean-variance preferences for continuous processes ⋮ Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem ⋮ Better than pre-committed optimal mean-variance policy in a jump diffusion market ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Time-consistent investment strategy under partial information ⋮ Multi-Period Mean Expected-Shortfall Strategies: ‘Cut Your Losses and Ride Your Gains’ ⋮ Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case ⋮ Multiperiod Mean-CVaR Portfolio Selection ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Portfolio selection with exploration of new investment assets ⋮ Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent? ⋮ Hybrid strategy in multiperiod mean-variance framework ⋮ The self-coordination mean-variance strategy in continuous time ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ Dynamic approaches for some time-inconsistent optimization problems ⋮ Stochastic control for optimal execution: fast approximation solution scheme under nested mean-semi deviation and conditional value at risk ⋮ Mean-variance dynamic optimality for DC pension schemes ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Optimal investment policy in the time consistent mean-variance formulation ⋮ Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies ⋮ Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem ⋮ Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset ⋮ ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING ⋮ Time-consistent and self-coordination strategies for multi-period mean-conditional value-at-risk portfolio selection ⋮ Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach ⋮ ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION ⋮ Dynamic cointegrated pairs trading: mean-variance time-consistent strategies ⋮ MEAN–VARIANCE EQUILIBRIUM ASSET-LIABILITY MANAGEMENT STRATEGY WITH COINTEGRATED ASSETS ⋮ Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion ⋮ Time-consistent multiperiod mean semivariance portfolio selection with the real constraints ⋮ Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach ⋮ Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion ⋮ Time-consistent investment policies in Markovian markets: a case of mean-variance analysis ⋮ Monotone Sharpe ratios and related measures of investment performance ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Optimal multi-period mean-variance policy under no-shorting constraint ⋮ Robust time-inconsistent stochastic control problems ⋮ Time consistent policy of multi-period mean-variance ⋮ Time-Consistent Conditional Expectation Under Probability Distortion ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints ⋮ TIME-INCONSISTENT MARKOVIAN CONTROL PROBLEMS UNDER MODEL UNCERTAINTY WITH APPLICATION TO THE MEAN-VARIANCE PORTFOLIO SELECTION ⋮ CONTINUOUS-TIME MEAN–VARIANCE OPTIMIZATION FOR DEFINED CONTRIBUTION PENSION FUNDS WITH REGIME-SWITCHING ⋮ Aggregating expert advice strategy for online portfolio selection with side information ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR ⋮ Complete markets do not allow free cash flow streams
Cites Work
- Unnamed Item
- Asset and liability management under a continuous-time mean-variance optimization framework
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Continuous-time mean-variance efficiency: the 80\% rule
- Mean-absolute deviation portfolio optimization for mortgage-backed securities
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- On the structure of general mean-variance hedging strategies
- Coherent multiperiod risk adjusted values and Bellman's principle
- Time consistent dynamic risk measures
- Risk measures via \(g\)-expectations
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Coherent Measures of Risk
- OPTIONED PORTFOLIO SELECTION: MODELS AND ANALYSIS
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
- Mean‐Variance Portfolio Selection under Partial Information
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Safety First and the Holding of Assets
This page was built for publication: BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM