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Time-consistent investment policies in Markovian markets: A case of mean–variance analysis
16 references·3 citing·44 second hop
Time-consistent investment policies in Markovian markets: A case of mean–variance analysis (2014)Time-consistent investment policies in Ma…International asset allocation under regime switching, skew, and kurtosis preferences (2008)International asset allocatio…Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes (2006)Dynamic Monetary Risk Measure…Coherent multiperiod risk adjusted values and Bellman’s principle (2006)Coherent multiperiod risk adj…CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Conditional and dynamic convex risk measures (2005)Conditional and dynamic conve…Dynamic coherent risk measures (2004)Dynamic coherent risk measuresMarkowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfol…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs (1991)An Exact Solution to a Dynami…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Stationary Ordinal Utility and Impatience (1960)Stationary Ordinal Utility an…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework (2016)Self-coordination in time inc…Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (2016)Pre-commitment vs. time-consi…Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching (2015)Nash equilibrium strategy for…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. 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(2007)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Option pricing: A simplified approach (1979)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Asset Prices and Trading Volume under Fixed Transactions Costs (2004)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Portfolio Selection: Efficient Diversification of Investments (1959)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)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Convex measures of risk and trading constraints (2002)Risk measures via -expectations (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)Optimal Taxation of Capital Income in General Equilibrium with Infinite Lives (1986)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)Handbook of Emotions (1993)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

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1960Stationary Ordinal Utility and Impatience1,550 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2006Coherent multiperiod risk adjusted values and Bellman’s principle409 cited
  • 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs401 cited
  • 2008International asset allocation under regime switching, skew, and kurtosis preferences400 cited
  • 2004Dynamic coherent risk measures400 cited
  • 2005Conditional and dynamic convex risk measures356 cited
  • 2006Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes340 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

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339 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • Cited by

    • 2015Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching35 cited
    • 2016Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows20 cited
    • 2016Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework20 cited