SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
16 references·16 citing·34 second hopsampled
Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Markowitz's Mean-Variance Portfolio Selec…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…AMERICAN OPTIONS WITH REGIME SWITCHING (2002)AMERICAN OPTIONS WITH REGIME …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…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Introduction to Mathematical Finance: Discrete Time Models (1997)Introduction to Mathematical …Mean-Variance Hedging in Continuous Time (1991)Mean-Variance Hedging in Cont…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…Portfolio Selection: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Portfolio Selection (1952)Portfolio SelectionIslamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis (2019)Islamic and conventional port…Asset allocation: new evidence through network approaches (2019)Asset allocation: new evidenc…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control (2013)A new fuzzy programming appro…Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (2011)Multi-period mean-variance po…Optimal portfolios with regime switching and value-at-risk constraint (2010)Optimal portfolios with regim…On mean-variance portfolio selection under a hidden Markovian regime-switching model (2010)On mean-variance portfolio se…Portfolio selection in stochastic markets with HARA utility functions (2009)Portfolio selection in stocha…Portfolio selection in stochastic markets with exponential utility functions (2008)Portfolio selection in stocha…A generalized multi-period mean–variance portfolio optimization with Markov switching parameters (2008)A generalized multi-period me…Multiperiod Mean-Variance Optimization with Intertemporal Restrictions (2007)Multiperiod Mean-Variance Opt…Option Pricing With Markov-Modulated Dynamics (2006)Option Pricing With Markov-Mo…Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Multiperiod portfolio optimiz…Multi-period optimization portfolio with bankruptcy control in stochastic market (2006)Multi-period optimization por…Euler‐Maruyama approximations in mean‐revertingstochastic volatility model under regime‐switching (2006)Euler‐Maruyama approximations…Portfolio optimization in stochastic markets (2005)Portfolio optimization in sto…Adapted solution of a backward stochastic differential equation (1990)Controlled Markov Processes and Viscosity Solutions (2005)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)Risk Aversion in the Small and in the Large (1964)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)A Theory of the Term Structure of Interest Rates (1985)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Risk, Return, and Equilibrium: Empirical Tests (1973)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1959Portfolio Selection: Efficient Diversification of Investments5,535 cited
  • 1952Portfolio Selection4,609 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1999Stochastic Controls1,243 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2002AMERICAN OPTIONS WITH REGIME SWITCHING506 cited
  • 1997Introduction to Mathematical Finance: Discrete Time Models425 cited
  • 1991Mean-Variance Hedging in Continuous Time

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

383 cited

Cited by

  • 2006Option Pricing With Markov-Modulated Dynamics132 cited
  • 2006Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach131 cited
  • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
  • 2008A generalized multi-period mean–variance portfolio optimization with Markov switching parameters125 cited
  • 2005Portfolio optimization in stochastic markets82 cited
  • 2010On mean-variance portfolio selection under a hidden Markovian regime-switching model79 cited
  • 2009Portfolio selection in stochastic markets with HARA utility functions68 cited
  • 2010Optimal portfolios with regime switching and value-at-risk constraint66 cited
  • 2013A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control55 cited
  • 2006Multi-period optimization portfolio with bankruptcy control in stochastic market55 cited
  • 2008Portfolio selection in stochastic markets with exponential utility functions47 cited
  • 2019Asset allocation: new evidence through network approaches44 cited
  • 2011Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon44 cited
  • 2007Multiperiod Mean-Variance Optimization with Intertemporal Restrictions43 cited
  • 2006Euler‐Maruyama approximations in mean‐revertingstochastic volatility model under regime‐switching41 cited
  • 2019Islamic and conventional portfolios optimization under investor sentiment states: Bayesian vs Markowitz portfolio analysis40 cited