SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching
16 references·5 citing·28 second hop
Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching (2015)Nash equilibrium strategy for a multi-per…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Optimal time-consistent inves…Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent inves…Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (2010)Markowitz's Mean-Variance Ass…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Continuous time mean variance asset allocation: A time-consistent strategy (2010)Continuous time mean variance…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Portfolio optimization in stochastic markets (2005)Portfolio optimization in sto…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: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Adjusting for risk in comparing the performances of male- and female-controlled SMEs (2003)Adjusting for risk in compari…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…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review (2019)Improved Covariance Matrix Es…Multi-period project portfolio selection under risk considerations and stochastic income (2018)Multi-period project portfoli…Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor (2017)Time consistent fuzzy multi-p…Mean-Variance Asset Liability Management with State-Dependent Risk Aversion (2017)Mean-Variance Asset Liability…Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (2016)Pre-commitment vs. time-consi…Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)A theory of Markovian time-inconsistent stochastic control in discrete time (2014)On time-inconsistent stochastic control in continuous time (2017)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)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)Initial human and financial capital as predictors of new venture performance (1994)ARE WOMEN MORE RISK AVERSE? (1998)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Work-family interface experiences and coping strategies: Implications for entrepreneurship research and practice (2007)Does family employment enhance MSEs performance? (2010)Barriers to ethnic minority and women’s enterprise: Existing evidence, policy tensions and unsettled questions (2015)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Framing of Decisions and the Psychology of Choice (1981)Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)A Maximum Principle for SDEs of Mean-Field Type (2010)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)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)Toward a positive theory of consumer choice (1980)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 2003Adjusting for risk in comparing the performances of male- and female-controlled SMEs271 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers216 cited
  • 2004Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation167 cited
  • 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model154 cited
  • 2010Continuous time mean variance asset allocation: A time-consistent strategy119 cited

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

2005
Portfolio optimization in stochastic markets
82 cited
  • 2010Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model81 cited
  • Cited by

    • 2017Time consistent fuzzy multi-period rolling portfolio optimization with adaptive risk aversion factor34 cited
    • 2018Multi-period project portfolio selection under risk considerations and stochastic income31 cited
    • 2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review28 cited
    • 2016Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows20 cited
    • 2017Mean-Variance Asset Liability Management with State-Dependent Risk Aversion19 cited