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Continuous-time mean–risk portfolio selection · Study

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ArticleContinuous-time mean–risk portfolio selection

Jun Hua Yan2005

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Continuous-time mean–risk portfolio selection

Jun Hua Yan · Xueyang Zhou

45 citations·0/0 files stored·Annales de l Institut Henri Poincaré Probabilités et Statistiques

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1959Portfolio Selection: Efficient Diversification of Investments 2000Value At Risk: The New Benchmark for Managing Financial Risk 1997Backward Stochastic Differential Equations in Finance 1998Methods of Mathematical Finance 1999Stochastic controls : Hamiltonian systems and HJB equations 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market 1975Mean-Risk Analysis with Risk Associated with Below-Target Returns 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

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2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME 2017Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time 2006A NOTE ON SEMIVARIANCE 2017Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR 2017Risk management with weighted VaR 2019A stochastic programming model for a capacitated location-allocation problem with heterogeneous demands

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2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITIONarticle · 9 shared references 2006Tracking a Financial Benchmark Using a Few Assetsarticle · 7 shared references 2004Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Marketarticle · 6 shared references 2000Relationship Between Backward Stochastic Differential Equations and Stochastic Controls: A Linear-Quadratic Approacharticle · 6 shared references 2010Paris-Princeton Lectures on Mathematical Finance 2010book · 6 shared references 2010Continuous-Time Markowitz's Model with Transaction Costsarticle · 6 shared references

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Year2005

Typearticle

Published2005-04-02

VenueAnnales de l Institut Henri Poincaré Probabilités et Statistiques

ISSN-L0246-0203

Languageen

Citations45

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.anihpb.2004.09.009

openalex_workW1990441260

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