Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach

Numerical optimization and variational techniques (65K10) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Integro-partial differential equations (45K05)

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Cited In (24)

A semi-Lagrangian \(\epsilon\)-monotone Fourier method for continuous withdrawal GMWBs under jump-diffusion with stochastic interest rate
Short communication: Monte Carlo expected wealth and risk measure trade-off portfolio optimization
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Time consistent mean-variance asset allocation for a DC plan with regime switching under a jump-diffusion model
The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans
A Stochastic Control Approach to Defined Contribution Plan Decumulation: “The Nastiest, Hardest Problem in Finance”
Optimal Market Making under Partial Information with General Intensities
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
Convergence of the embedded mean-variance optimal points with discrete sampling
The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
OPTIMAL ASSET ALLOCATION FOR DC PENSION DECUMULATION WITH A VARIABLE SPENDING RULE
Management of Portfolio Depletion Risk through Optimal Life Cycle Asset Allocation
Optimal asset allocation for outperforming a stochastic benchmark target
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
Optimal liquidation under partial information with price impact
Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

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