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Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection
16 references·2 citing·29 second hop
Terminal perturbation method for the backward approach to continuous time mean–variance portfolio selection (2007)Terminal perturbation method for the back…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…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Stochastic Linear Quadratic R…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…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Hedging options for a large investor and forward-backward SDE's (1996)Hedging options for a large i…Backward stochastic differential equations and applications to optimal control (1993)Backward stochastic different…Adapted solution of a backward stochastic differential equation (1990)Adapted solution of a backwar…Lectures on stochastic control (1982)Lectures on stochastic controlMartingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints (2013)A maximum principle for fully…A generalized Neyman–Pearson lemma for g-probabilities (2009)A generalized Neyman–Pearson …The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)An Introductory Approach to Duality in Optimal Stochastic Control (1978)A General Stochastic Maximum Principle for Optimal Control Problems (1990)Backward-Forward Stochastic Differential Equations (1993)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)Portfolio Selection: Efficient Diversification of Investments (1959)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)Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Brownian Motion and Stochastic Calculus (2007)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)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)Partial Differential Equations (2010)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Catastrophe Risk Bonds (2000)Optimal investment in incomplete markets when wealth may become negative (2001)Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation (2004)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 1990Adapted solution of a backward stochastic differential equation2,676 cited
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  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
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  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
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  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Market263 cited
  • 1982Lectures on stochastic control

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249 cited
  • 1996Hedging options for a large investor and forward-backward SDE's207 cited
  • Cited by

    • 2009A generalized Neyman–Pearson lemma for g-probabilities28 cited
    • 2013A maximum principle for fully coupled forward–backward stochastic control systems with terminal state constraints27 cited