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MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
16 references·3 citing·36 second hop
MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET (2006)MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN …CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)Necessary and sufficient cond…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…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…Minimax and minimal distance martingale measures and their relationship to portfolio optimization (2001)Minimax and minimal distance …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…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Mean‐Variance Hedging and Numéraire (1998)Mean‐Variance Hedging and Num…The Variance-Optimal Martingale Measure for Continuous Processes (1996)The Variance-Optimal Martinga…Approximation pricing and the variance-optimal martingale measure (1996)Approximation pricing and the…Limit Theorems for Stochastic Processes (1987)Limit Theorems for Stochastic…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection (2013)Mean–variance optimal portfol…Continuous-time mean–variance portfolio selection with only risky assets (2013)Continuous-time mean–variance…Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints (2012)Quadratic Risk Minimization i…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)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)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)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)Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Insurance: Mathematics and Economics (2013)Benchmark and mean-variance problems for insurers (2005)Paris-Princeton Lectures on Mathematical Finance 2010 (2010)The Econometrics of Financial Markets (2012)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)Time-changed Lévy processes and option pricing (2003)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)Arbitrage Theory in Continuous Time (1998)Affine processes and applications in finance (2003)Variance Risk Premiums (2008)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1987Limit Theorems for Stochastic Processes1,319 cited
  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 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
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 1996Approximation pricing and the variance-optimal martingale measure269 cited
  • 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Market263 cited
  • 2003Necessary and sufficient conditions in the problem of optimal investment in incomplete markets226 cited
  • 2001Minimax and minimal distance martingale measures and their relationship to portfolio optimization219 cited
  • 1996

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The Variance-Optimal Martingale Measure for Continuous Processes
192 cited
  • 1998Mean‐Variance Hedging and Numéraire179 cited
  • Cited by

    • 2013Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection44 cited
    • 2013Continuous-time mean–variance portfolio selection with only risky assets34 cited
    • 2012Quadratic Risk Minimization in a Regime-Switching Model with Portfolio Constraints26 cited