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Dynamic portfolio optimization with risk control for absolute deviation model
16 references·6 citing·33 second hop
Dynamic portfolio optimization with risk control for absolute deviation model (2009)Dynamic portfolio optimization with risk …CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfol…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Introduction to Mathematical Finance (2000)Introduction to Mathematical …Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model (1997)Estimation Risk in Portfolio …Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market (1991)Mean-Absolute Deviation Portf…Continuous-Time Finance. (1991)Continuous-Time Finance.An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Multiperiod Consumption-Investment Decisions (1975)Multiperiod Consumption-Inves…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE* (1971)MULTI‐PERIOD MEAN‐VARIANCE AN…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria (2018)A Novel Hybrid ICA-FA Algorit…Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor (2017)Time consistent fuzzy multi-p…Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty (2016)Random fuzzy mean-absolute de…On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (2015)On the exact solution of the …Optimal investment policy in the time consistent mean–variance formulation (2012)Optimal investment policy in …Fuzzy multi period portfolio selection with different rates for borrowing and lending (2011)Fuzzy multi period portfolio …Risk Aversion in the Small and in the Large (1964)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)COMPONENTS OF INVESTMENT PERFORMANCE* (1972)Intertemporal Asset Pricing with Heterogeneous Consumers and Without Demand Aggregation (1982)The Valuation of Uncertain Income Streams and the Pricing of Options (2010)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Adapted 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)From stochastic dominance to mean-risk models: Semideviations as risk measures (1999)Heuristics for cardinality constrained portfolio optimisation (2000)Portfolio optimization with conditional value-at-risk objective and constraints (2001)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)An Engine, Not a Camera (2006)A Theory of the Term Structure of Interest Rates (1985)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)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1991Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market1,516 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 1975Multiperiod Consumption-Investment Decisions448 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 2000Introduction to Mathematical Finance343 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 1971MULTI‐PERIOD MEAN‐VARIANCE ANALYSIS: TOWARD A GENERAL THEORY OF PORTFOLIO CHOICE*

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211 cited
  • 1997Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model205 cited
  • Cited by

    • 2018A Novel Hybrid ICA-FA Algorithm for Multiperiod Uncertain Portfolio Optimization Model Based on Multiple Criteria62 cited
    • 2011Fuzzy multi period portfolio selection with different rates for borrowing and lending57 cited
    • 2016Random fuzzy mean-absolute deviation models for portfolio optimization problem with hybrid uncertainty46 cited
    • 2015On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability41 cited
    • 2017Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor34 cited
    • 2012Optimal investment policy in the time consistent mean–variance formulation32 cited