MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
From MaRDI portal
Publication:5472785
DOI10.1111/j.1467-9965.2006.00268.xzbMath1128.91030OpenAlexW2014943030MaRDI QIDQ5472785
Publication date: 12 June 2006
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00268.x
Related Items (14)
Structure condition under initial enlargement of filtration ⋮ Mean–variance portfolio selection based on a generalized BNS stochastic volatility model ⋮ On the structure of general mean-variance hedging strategies ⋮ The premium of dynamic trading in a discrete-time setting ⋮ A mean-variance optimization problem for discounted Markov decision processes ⋮ Convex risk measures on Orlicz spaces: inf-convolution and shortfall ⋮ Simplified mean-variance portfolio optimisation ⋮ Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps ⋮ High dimensional mean-variance optimization through factor analysis ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE ⋮ Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets ⋮ A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises
Cites Work
- Calcul stochastique et problèmes de martingales
- Weighted norm inequalities and hedging in incomplete markets
- Products of trees for investment analysis
- On Fefferman and Burkholder-Davis-Gundy inequalities for \({\mathcal E}\)-martingales
- \(\mathcal E\)-martingales and their applications in mathematical finance
- Optimal portfolios for exponential Lévy processes.
- The minimal entropy martingale measures for geometric Lévy processes
- Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- An extension of mean-variance hedging to the discontinuous case
- Optimal portfolios when stock prices follow an exponential Lévy process
- Approximation pricing and the variance-optimal martingale measure
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Mean-Variance Hedging and Numeraire
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
This page was built for publication: MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
