Mean-variance portfolio selection with non-negative state-dependent risk aversion
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Publication:5014196
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Cites work
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- Mean-variance portfolio optimization with state-dependent risk aversion
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Cited in
(7)- Mean-variance portfolio with wealth and volatility dependent risk aversion
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- Pairs trading under delayed cointegration
- Mean-variance portfolio optimization with state-dependent risk aversion
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Robust state-dependent mean-variance portfolio selection: a closed-loop approach
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