Pages that link to "Item:Q3370587"
From MaRDI portal
The following pages link to CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (Q3370587):
Displaying 50 items.
- Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints (Q294516) (← links)
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (Q321015) (← links)
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
- Investing equally in risk (Q354660) (← links)
- Multi-period portfolio optimization for asset-liability management with bankrupt control (Q387508) (← links)
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach (Q490798) (← links)
- Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113) (← links)
- Continuous-time mean-variance portfolio optimization in a jump-diffusion market (Q538272) (← links)
- Portfolio optimization when expected stock returns are determined by exposure to risk (Q605869) (← links)
- A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
- Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer (Q646755) (← links)
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market (Q646757) (← links)
- Dynamic safety first expected utility model (Q724069) (← links)
- Behavioral mean-variance portfolio selection (Q724154) (← links)
- Numerical methods for portfolio selection with bounded constraints (Q732165) (← links)
- Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets (Q782116) (← links)
- Efficient frontier of utility and CVaR (Q836867) (← links)
- Implications of the Sharpe ratio as a performance measure in multi-period settings (Q844669) (← links)
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) (← links)
- Asset-liability management under the safety-first principle (Q846949) (← links)
- Asset and liability management under a continuous-time mean-variance optimization framework (Q860504) (← links)
- Time-consistent investment strategy under partial information (Q896762) (← links)
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (Q927920) (← links)
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach (Q931178) (← links)
- Mean-variance optimization problems for an accumulation phase in a defined benefit plan (Q939338) (← links)
- Delegated dynamic portfolio management under mean-variance preferences (Q955492) (← links)
- Optimal investment for an insurer: the martingale approach (Q995514) (← links)
- Continuous-time mean-variance efficiency: the 80\% rule (Q997400) (← links)
- Dynamic portfolio optimization with risk control for absolute deviation model (Q1037655) (← links)
- A maximum principle for fully coupled forward-backward stochastic control system driven by Lévy process with terminal state constraints (Q1621173) (← links)
- Maximum principle of optimal stochastic control with terminal state constraint and its application in finance (Q1621178) (← links)
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor (Q1656373) (← links)
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation (Q1656758) (← links)
- Quadratic minimization with portfolio and intertemporal wealth constraints (Q1680704) (← links)
- Continuous-time Markowitz's model with constraints on wealth and portfolio (Q1709945) (← links)
- Non-smooth analysis method in optimal investment-BSDE approach (Q1716351) (← links)
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints (Q1716940) (← links)
- The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps (Q1722363) (← links)
- The optimal portfolio selection model under \(g\)-expectation (Q1724103) (← links)
- Mean-risk portfolio management with bankruptcy prohibition (Q1735044) (← links)
- An HJB approach to a general continuous-time mean-variance stochastic control problem (Q1756027) (← links)
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052) (← links)
- A mean-variance optimization problem for discounted Markov decision processes (Q1926755) (← links)
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (Q1938232) (← links)
- Cone-constrained continuous-time Markowitz problems (Q1948703) (← links)
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return (Q1983739) (← links)
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis (Q1994404) (← links)
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model (Q2020524) (← links)
