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Some Solvable Portfolio Problems with Quadratic and Collective Objectives · Study

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PreprintSome Solvable Portfolio Problems with Quadratic and Collective Objectives

Esben Masotti Kryger2010

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Preprintgreen2010

Some Solvable Portfolio Problems with Quadratic and Collective Objectives

Esben Masotti Kryger · Mogens Steffensen

60 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Stochastic processes and financial applications Economic theories and models

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References

1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2010Dynamic Mean-Variance Asset Allocation 1968Consistent Planning 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems 2009Consumption and portfolio rules for time-inconsistent investors

Cited by

2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models 2011Inconsistent Investment and Consumption Problems 2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk 2015Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching 2013Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem

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Details

Year2010

Typepreprint

Published2010-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations60

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.1577265

openalex_workW1553692176

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2021Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process

2014Complete markets do not allow free cash flow streams