Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
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Publication:490798
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Cites work
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Cited in
(14)- Stochastic portfolio selection problem with reliability criteria
- Market timing in parametric portfolio policies
- Hybrid strategy in multiperiod mean-variance framework
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- Time-consistent investment strategy under partial information
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- The impact of general correlation under multi-period mean-variance asset-liability portfolio management
- Bayesian filtering for multi-period mean-variance portfolio selection
- Survey on multi-period mean-variance portfolio selection model
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
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