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Complete markets do not allow free cash flow streams
13 references·2 citing·41 second hop
Complete markets do not allow free cash flow streams (2014)Complete markets do not allow free cash f…Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach (2015)Better than pre-commitment me…Markov Decision Processes with Applications to Finance (2011)Markov Decision Processes wit…Some Solvable Portfolio Problems with Quadratic and Collective Objectives (2010)Some Solvable Portfolio Probl…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)BETTER THAN DYNAMIC MEAN‐VARI…On the structure of general mean-variance hedging strategies (2007)On the structure of general m…Stochastic orders and risk measures: Consistency and bounds (2005)Stochastic orders and risk me…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…Optimal Portfolios: Stochastic Models For Optimal Investment And Risk Management In Continuous Time (1997)Optimal Portfolios: Stochasti…Optimal Portfolios (1997)Optimal PortfoliosContinuous-time portfolio optimization under terminal wealth constraints (1995)Continuous-time portfolio opt…Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets (1984)Mean-Gini, Portfolio Theory, …A note on monotone mean–variance preferences for continuous processes (2020)A note on monotone mean–varia…Dynamic mean variance asset allocation: Tests for robustness (2017)Dynamic mean variance asset a…PORTFOLIO SELECTION* (1952)Safety First and the Holding of Assets (1952)Coherent Measures of Risk (1999)Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Time-consistent mean-variance portfolio selection in discrete and continuous time (2012)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Risk, Return, and Equilibrium: Empirical Tests (1973)Marginal Conditional Stochastic Dominance (1994)Gini's Mean difference: a superior measure of variability for non-normal distributions (2003)Beyond Sharpe ratio: Optimal asset allocation using different performance ratios (2008)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Controlled Markov Processes and Viscosity Solutions (2005)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)An Introduction to Copulas (1999)Conditional value-at-risk for general loss distributions (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Consistent risk measures for portfolio vectors (2005)Risk aggregation with dependence uncertainty (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Calcul Stochastique et Problèmes de Martingales (1979)Hedging of contingent claims under incomplete information (1990)Limit Theorems for Stochastic Processes (2003)Optimal investment for an insurer: The martingale approach (2006)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)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)A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A Maximum Principle for SDEs of Mean-Field Type (2010)Stochastic Games (1953)From Bandits to Monte-Carlo Tree Search: The Optimistic Principle Applied to Optimization and Planning (2014)Trading financial indices with reinforcement learning agents (2018)A brief review of portfolio optimization techniques (2022)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Optimal control of stochastic hybrid system with jumps: A numerical approximation (2013)Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty (2021)Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION (2007)
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  • 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
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  • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM130 cited
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  • 2017Dynamic mean variance asset allocation: Tests for robustness26 cited

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2020
A note on monotone mean–variance preferences for continuous processes
17 cited