Multiperiod mean-variance portfolio optimization via market cloning

DOI10.1007/S00245-011-9134-0MaRDI QIDQ647502zbMATH OpenOpenAlexFDO

Authors Stefan Ankirchner, Azzouz Dermoune

Publication date 23 November 2011

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00245-011-9134-0

zbMATH Keywords

dynamic programmingmean variance optimizationoptimal portfoliosempirical meanindependent returnsmarket clones

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Dynamic programming in optimal control and differential games (49L20)

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Cites work

• A maximum principle for relaxed stochastic control of linear SDEs with application to bond portfolio optimization
• Nonlinear Diffusion Governed by McKean–Vlasov Equation on Hilbert Space and Optimal Control
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Stochastic optimal control. The discrete time case

Cited in

(4)

• Credit risk contagion in an evolving network model integrating spillover effects and behavioral interventions
• Continuous time mean-variance portfolio optimization through the mean field approach
• Mean-variance problems for finite horizon semi-Markov decision processes
• Time consistency of the mean-risk problem

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