Portfolio selection with exploration of new investment assets
From MaRDI portal
Publication:6168501
DOI10.1016/J.EJOR.2023.03.017MaRDI QIDQ6168501FDOQ6168501
Authors: Luca De Gennaro Aquino, D. Sornette, Moris S. Strub
Publication date: 11 July 2023
Published in: European Journal of Operational Research (Search for Journal in Brave)
Cites Work
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- A theory of Markovian time-inconsistent stochastic control in discrete time
- A Smooth Model of Decision Making under Ambiguity
- Continuous time mean variance asset allocation: a time-consistent strategy
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Differentiating ambiguity and ambiguity attitude
- Mean-variance portfolio selection of cointegrated assets
- Mean-variance portfolio optimization with state-dependent risk aversion
- Time-inconsistent stochastic linear-quadratic control
- Information acquisition and under-diversification
- 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
- Robust Portfolio Selection Problems
- Reinforcement learning. An introduction
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Mean-variance portfolio selection with correlation risk
- Behavioral mean-variance portfolio selection
- Mean-variance efficiency when investors are not required to invest all their money
- Complete markets do not allow free cash flow streams
- Optimal multi-period mean-variance policy under no-shorting constraint
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Optimal cardinality constrained portfolio selection
- Valuing the option to invest in an incomplete market
- Investment Timing Under Incomplete Information
- MEAN–VARIANCE PORTFOLIO CHOICE: QUADRATIC PARTIAL HEDGING
- Continuous-time mean-variance efficiency: the 80\% rule
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
- Wright meets Markowitz: how standard portfolio theory changes when assets are technologies following experience curves
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Continuous‐time mean–variance portfolio selection: A reinforcement learning framework
- On the equilibrium strategies for time-inconsistent problems in continuous time
- Risk and potential: an asset allocation framework with applications to robo-advising
- Mean-variance portfolio selection with dynamic targets for expected terminal wealth
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
This page was built for publication: Portfolio selection with exploration of new investment assets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6168501)