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ArticleComplete markets do not allow free cash flow streams

Nicole Bäuerle2014

Article2014

Complete markets do not allow free cash flow streams

Nicole Bäuerle · Stefanie Grether

20 citations·0/0 files stored·Mathematical Methods of Operations Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 2010Dynamic Mean-Variance Asset Allocation 2011Markov Decision Processes with Applications to Finance 1984Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets 1997Optimal Portfolios 2007On the structure of general mean-variance hedging strategies 2005Stochastic orders and risk measures: Consistency and bounds

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2017Dynamic mean variance asset allocation: Tests for robustness 2020A note on monotone mean–variance preferences for continuous processes

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2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAMarticle · 5 shared references 2016Multi-period mean–variance portfolio optimization based on Monte-Carlo simulationarticle · 5 shared references 2020The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errorsarticle · 5 shared references 2018Time-consistent mean–variance portfolio optimization: A numerical impulse control approacharticle · 5 shared references 2016On pre-commitment aspects of a time-consistent strategy for a mean-variance investorarticle · 5 shared references 2017Dynamic mean variance asset allocation: Tests for robustnessarticle · 5 shared references

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Year2014

Typearticle

Published2014-12-22

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations20

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00186-014-0489-2

openalex_workW2092899394

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