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Time-consistent mean-variance portfolio selection in discrete and continuous time
16 references·16 citing·36 second hopsampled
Time-consistent mean-variance portfolio selection in discrete and continuous time (2012)Time-consistent mean-variance portfolio s…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Encyclopedia of Quantitative Finance (2010)Encyclopedia of Quantitative …Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)PORTFOLIO SELECTION WITH MONO…The Mathematics of Arbitrage (2005)The Mathematics of ArbitrageStochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Limit Theorems for Stochastic Processes (2003)Limit Theorems for Stochastic…Strategic Asset Allocation (2002)Strategic Asset AllocationOptimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…On the minimal martingale measure and the möllmer-schweizer decomposition (1995)On the minimal martingale mea…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…Me, myself and I: A general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents (2023)Me, myself and I: A general t…Time-consistent equilibrium reinsurance–investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework (2020)Time-consistent equilibrium r…Robust optimal reinsurance–investment strategy with price jumps and correlated claims (2020)Robust optimal reinsurance–in…ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION (2020)ON TIME CONSISTENCY FOR MEAN-…Dynamic asset-liability management problem in a continuous-time model with delay (2020)Dynamic asset-liability manag…Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions (2019)Mean-Variance Portfolio Selec…Optimizing portfolio selection problems under credibilistic CVaR criterion (2018)Optimizing portfolio selectio…On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems (2018)On Finding Equilibrium Stoppi…Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon (2018)Equilibrium Strategies for th…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …Optimal mean-variance portfolio selection (2016)Optimal mean-variance portfol…Alpha-robust mean-variance reinsurance-investment strategy (2016)Alpha-robust mean-variance re…Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2015)Time-consistent mean-variance…Time-consistent investment strategy under partial information (2015)Time-consistent investment st…Optimal mean–variance selling strategies (2015)Optimal mean–variance selling…MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE (2015)MEAN‐VARIANCE POLICY FOR DISC…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)PORTFOLIO SELECTION* (1952)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)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)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Prospect Theory: An Analysis of Decision under Risk (1979)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Household Risk Management and Optimal Mortgage Choice (2003)Predicting the Equity Premium with Dividend Ratios (2003)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 Maximum Principle for SDEs of Mean-Field Type (2010)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Multiperiod Consumption-Investment Decisions (1975)Universal Portfolios (1991)Aspects of Rational Insurance Purchasing (1992)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)Toward a positive theory of consumer choice (1980)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Microstructure noise in the continuous case: The pre-averaging approach (2008)Tails, Fears, and Risk Premia (2011)
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References

  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 2003Limit Theorems for Stochastic Processes2,529 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 2009PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES426 cited
  • 2005The Mathematics of Arbitrage344 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 1995On the minimal martingale measure and the möllmer-schweizer decomposition321 cited
  • 2010Encyclopedia of Quantitative Finance

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294 cited

Cited by

  • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
  • 2016Optimal mean-variance portfolio selection82 cited
  • 2015Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model60 cited
  • 2016Alpha-robust mean-variance reinsurance-investment strategy55 cited
  • 2015MEAN‐VARIANCE POLICY FOR DISCRETE‐TIME CONE‐CONSTRAINED MARKETS: TIME CONSISTENCY IN EFFICIENCY AND THE MINIMUM‐VARIANCE SIGNED SUPERMARTINGALE MEASURE53 cited
  • 2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims51 cited
  • 2018On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems50 cited
  • 2015Optimal mean–variance selling strategies49 cited
  • 2018Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon43 cited
  • 2020Time-consistent equilibrium reinsurance–investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework36 cited
  • 2020ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION34 cited
  • 2018Optimizing portfolio selection problems under credibilistic CVaR criterion34 cited
  • 2020Dynamic asset-liability management problem in a continuous-time model with delay33 cited
  • 2019Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions32 cited
  • 2023Me, myself and I: A general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents32 cited
  • 2015Time-consistent investment strategy under partial information30 cited