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Dynamic mean variance asset allocation: Tests for robustness
16 references·2 citing·42 second hop
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References

  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2004Option Pricing Under a Double Exponential Jump Diffusion Model654 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 1978A History of Interest Rates.569 cited
  • 2000Energy derivatives : pricing and risk management498 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
  • 1977The Journal of Financial Planning438 cited
  • 2007Determining Withdrawal Rates Using Historical Data302 cited
  • 2012Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data176 cited
  • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM130 cited
  • 2008Performance evaluation of portfolio insurance strategies using stochastic dominance criteria126 cited
  • 2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
  • 2011Nonparametric tests for pathwise properties of semimartingales94 cited
  • 2010Omega performance measure and portfolio insurance

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91 cited
  • 2015Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach80 cited
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    • 2020Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?25 cited
    • 2019Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?15 cited