A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
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Cites work
- 60 years of portfolio optimization: practical challenges and current trends
- A mean-variance approach to capital investment optimization
- A new method for mean-variance portfolio optimization with cardinality constraints
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Dynamic Programming for Optimal Control of Stochastic McKean--Vlasov Dynamics
- Dynamic mean-LPM and mean-CVaR portfolio optimization in continuous-time
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Dynamic portfolio choice when risk is measured by weighted VaR
- Dynamic programming for mean-field type control
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Entropic value-at-risk: a new coherent risk measure
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Mean field games and mean field type control theory
- Mean field verification theorem
- Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
- Mean-variance portfolio optimization with state-dependent risk aversion
- On time-inconsistent stochastic control in continuous time
- Optimal Consumption and Investment Policies Allowing Consumption Constraints and Bankruptcy
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment and consumption with transaction costs
- Optimum consumption and portfolio rules in a continuous-time model
- Utility-deviation-risk portfolio selection
Cited in
(4)- Maximum principle for partially observed stochastic recursive optimal control problems involving impulse controls
- S-shaped utility maximization with VaR constraint and partial information
- Optimal mean-variance portfolio selection
- Extending the MAD portfolio optimization model to incorporate downside risk aversion
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