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Continuous-time mean–risk portfolio selection
16 references·6 citing·39 second hop
Continuous-time mean–risk portfolio selection (2005)Continuous-time mean–risk portfolio selec…Forward-Backward Stochastic Differential Equations and their Applications (2007)Forward-Backward Stochastic D…CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)Mean-Variance Portfolio Selec…Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfol…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Mathematics of Financial Markets (1999)Mathematics of Financial Mark…A Brief History of Downside Risk Measures (1999)A Brief History of Downside R…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Solving forward-backward stochastic differential equations explicitly — a four step scheme (1994)Solving forward-backward stoc…Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Mean-Risk Analysis with Risk Associated with Below-Target Returns (1975)Mean-Risk Analysis with Risk …Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…A stochastic programming model for a capacitated location-allocation problem with heterogeneous demands (2019)A stochastic programming mode…Risk management with weighted VaR (2017)Risk management with weighted…Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time (2017)Dynamic Mean-LPM and Mean-CVa…Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR (2017)Discrete-Time Mean-CVaR Portf…BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…A NOTE ON SEMIVARIANCE (2006)A NOTE ON SEMIVARIANCEAdapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Modern Portfolio Theory and Investment Analysis. (1982)Heuristics for cardinality constrained portfolio optimisation (2000)Conditional value-at-risk for general loss distributions (2002)Lectures on Stochastic Programming (2009)Controlled Diffusion Processes (1980)Stochastic Integration and Differential Equations (1990)Fully Coupled Forward-Backward Stochastic Differential Equations and Applications to Optimal Control (1999)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Aspects of the Theory of Risk-Bearing. (1966)Risk Aversion in the Small and in the Large (1976)Consumer perceived risk: conceptualisations and models (1999)A Cross-Cultural Study on Escalation of Commitment Behavior in Software Projects1 (2000)The Expected Utility Model: Its Variants, Purposes, Evidence and Limitations (2007)Theory of games and economic behavior (2019)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)A Jump-Diffusion Model for Option Pricing (2002)Arbitrage Theory in Continuous Time (2004)Intermediary Asset Pricing (2013)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Probabilistic Analysis of Mean-Field Games (2013)Stochastic Differential Equations (2014)
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References

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  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
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  • 1994Solving forward-backward stochastic differential equations explicitly — a four step scheme742 cited
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  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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293 cited
  • 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Market263 cited
  • Cited by

    • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
    • 2017Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-Time45 cited
    • 2006A NOTE ON SEMIVARIANCE41 cited
    • 2017Discrete-Time Mean-CVaR Portfolio Selection and Time-Consistency Induced Term Structure of the CVaR36 cited
    • 2017Risk management with weighted VaR34 cited
    • 2019A stochastic programming model for a capacitated location-allocation problem with heterogeneous demands24 cited