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A dynamic programming approach to constrained portfolios
16 references·4 citing·38 second hop
A dynamic programming approach to constrained portfolios (2013)A dynamic programming approach to constra…Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem (2011)Particle Swarm Optimization (…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Portfolio optimization with an envelope-based multi-objective evolutionary algorithm (2008)Portfolio optimization with a…Simulated annealing for complex portfolio selection problems (2003)Simulated annealing for compl…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Optimal Portfolios with Bounded Capital at Risk (2001)Optimal Portfolios with Bound…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Quantile hedging (1999)Quantile hedgingEquilibrium Analysis of Portfolio Insurance (1996)Equilibrium Analysis of Portf…Convex Duality in Constrained Portfolio Optimization (1992)Convex Duality in Constrained…Continuous-Time Finance. (1991)Continuous-Time Finance.Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…The valuation of compound options (1979)The valuation of compound opt…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts (2020)Nonconcave Optimal Investment…Communication and personal selection of pension saver’s financial risk (2018)Communication and personal se…Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield (2015)Dynamic speculation and hedgi…Optimal consumption, investment and life insurance with surrender option guarantee (2013)Optimal consumption, investme…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Theory of Rational Option Pricing (1973)Determinants of corporate borrowing (1977)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)Irreversibility, Uncertainty, and Investment (1990)Backward Stochastic Differential Equations in Finance (1997)Convex measures of risk and trading constraints (2002)Brownian Motion and Stochastic Calculus (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)PORTFOLIO SELECTION* (1952)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)Asset Prices in an Exchange Economy (1978)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Risks and Portfolio Decisions Involving Hedge Funds (2003)Dynamic Asset Pricing Theory. (1993)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Portfolio Selection with Transaction Costs (1990)
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1991Continuous-Time Finance.1,805 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1979The valuation of compound options1,107 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices858 cited
  • 1992Convex Duality in Constrained Portfolio Optimization628 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2003Simulated annealing for complex portfolio selection problems357 cited
  • 2011Particle Swarm Optimization (PSO) for the constrained portfolio optimization problem338 cited
  • 1996Equilibrium Analysis of Portfolio Insurance299 cited
  • 1999Quantile hedging294 cited
  • 2008Portfolio optimization with an envelope-based multi-objective evolutionary algorithm199 cited

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  • 2001Optimal Portfolios with Bounded Capital at Risk119 cited
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    • 2013Optimal consumption, investment and life insurance with surrender option guarantee28 cited
    • 2020Nonconcave Optimal Investment with Value-at-Risk Constraint: An Application to Life Insurance Contracts27 cited
    • 2018Communication and personal selection of pension saver’s financial risk23 cited
    • 2015Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield22 cited