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Multiperiod Mean-Variance Optimization with Intertemporal Restrictions
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Multiperiod Mean-Variance Optimization with Intertemporal Restrictions (2007)Multiperiod Mean-Variance Optimization wi…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation (2004)Risk Control Over Bankruptcy …Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Markowitz's Mean-Variance Por…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…A geometric approach to multiperiod mean variance optimization of assets and liabilities (2003)A geometric approach to multi…Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Markowitz Revisited: Mean-Var…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…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…A linear model for tracking error minimization (1999)A linear model for tracking e…Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs (1998)Stochastic Linear Quadratic R…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility (1997)Fluctuating Confidence in Sto…Portfolio Optimization in Practice (1992)Portfolio Optimization in Pra…A Mean/Variance Analysis of Tracking Error (1992)A Mean/Variance Analysis of T…Modern Portfolio Theory and Investment Analysis. (1982)Modern Portfolio Theory and I…Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Adapted solution of a backward stochastic differential equation (1990)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic Controls (1999)Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)Nonlinear Expectations, Nonlinear Evaluations and Risk Measures (2004)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Optimization Methods in Finance (2006)Robust portfolios: contributions from operations research and finance (2009)Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)An Introductory Approach to Duality in Optimal Stochastic Control (1978)A General Stochastic Maximum Principle for Optimal Control Problems (1990)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)The Sharpe Ratio (1994)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Betting against beta (2013)On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model (1999)An evolutionary heuristic for the index tracking problem (2003)The Gambler's and Hot-Hand Fallacies: Theory and Applications (2009)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

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  • 1998Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs382 cited
  • 2000Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II340 cited
  • 1997Fluctuating Confidence in Stock Markets: Implications for Returns and Volatility244 cited
  • 1992Portfolio Optimization in Practice227 cited
  • 2004Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits226 cited
  • 1999A linear model for tracking error minimization199 cited
  • 2003A geometric approach to multiperiod mean variance optimization of assets and liabilities

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179 cited
  • 2004Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation167 cited
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