Portfolio choice with skewness preference and wealth-dependent risk aversion
From MaRDI portal
Publication:5212068
DOI10.1080/14697688.2019.1592214zbMath1429.91293OpenAlexW2949962840WikidataQ127711501 ScholiaQ127711501MaRDI QIDQ5212068
Congming Mu, Jinqiang Yang, Weidong Tian
Publication date: 24 January 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1592214
Cites Work
- Higher-order risk vulnerability
- On time-inconsistent stochastic control in continuous time
- Continuous time mean variance asset allocation: a time-consistent strategy
- Risk taking with additive and multiplicative background risks
- The recursive approach to time inconsistency
- Dynamic approaches for some time-inconsistent optimization problems
- On uniqueness of time-consistent Markov policies for quasi-hyperbolic consumers under uncertainty
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Portfolio selection with higher moments
- The Structure of Intertemporal Preferences under Uncertainty and Time Consistent Plans
- Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- An empirical study of the impact of skewness and kurtosis on hedging decisions
