SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Numerical methods for portfolio selection with bounded constraints
14 references·2 citing·38 second hop
Numerical methods for portfolio selection with bounded constraints (2009)Numerical methods for portfolio selection…PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007)PORTFOLIO MANAGEMENT WITH CON…CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (2005)Constrained Stochastic LQ Con…Stochastic Approximation and Recursive Algorithms and Applications (2003)Stochastic Approximation and …Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Optimal Consumption and Portfolio Choice with Borrowing Constraints (1997)Optimal Consumption and Portf…Numerical Methods for Stochastic Control Problems in Continuous Time (1992)Numerical Methods for Stochas…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems (1990)Weak Convergence Methods and …Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Numerical Methods for Stochas…On stochastic relaxed control for partially observed diffusions (1984)On stochastic relaxed control…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics (2015)A Computational Method for St…Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation (2010)Numerical solutions of quanti…MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic differential equations with reflecting boundary conditions (1984)Martingale Methods in Financial Modelling (1997)An introduction to stochastic partial differential equations (2006)Dynamic modeling and control of supply chain systems: A review (2007)Menu Costs and Phillips Curves (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Stochastic Controls (1999)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)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)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Backward Stochastic Differential Equations in Finance (1997)Convex measures of risk and trading constraints (2002)Strategic Asset Allocation (2002)Brownian Motion and Stochastic Calculus (2007)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)PORTFOLIO SELECTION* (1952)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Stochastic Approximation with Averaging of the Iterates: Optimal Asymptotic Rate of Convergence for General Processes (1993)Stochastic approximation with two time scales (1997)On the connection between symmetric $N$-player games and mean field games (2017)Proceedings of the 2002 Winter Simulation Conference (2002)Computational methods in optimization considering uncertainties – An overview (2008)Non-Stationary Stochastic Optimization (2013)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Numerical Valuation of High Dimensional Multivariate American Securities (1995)Investment Shocks and Asset Prices (2011)
this work references cited by second hop

References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,966 cited
  • 2003Stochastic Approximation and Recursive Algorithms and Applications1,896 cited
  • 1990Numerical Methods for Stochastic Control Problems in Continuous Time1,421 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 1992Numerical Methods for Stochastic Control Problems in Continuous Time626 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
  • 1990Weak Convergence Methods and Singularly Perturbed Stochastic Control and Filtering Problems285 cited
  • 2005Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection111 cited
  • 1997Optimal Consumption and Portfolio Choice with Borrowing Constraints80 cited
  • 1984On stochastic relaxed control for partially observed diffusions73 cited
  • 2007PORTFOLIO MANAGEMENT WITH CONSTRAINTS65 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2015A Computational Method for Stochastic Optimal Control Problems in Financial Mathematics16 cited
  • 2010Numerical solutions of quantile hedging for guaranteed minimum death benefits under a regime-switching jump-diffusion formulation16 cited