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Time-consistent mean–variance portfolio optimization: A numerical impulse control approach
16 references·4 citing·37 second hop
Time-consistent mean–variance portfolio optimization: A numerical impulse control approach (2018)Time-consistent mean–variance portfolio o…A theory of Markovian time-inconsistent stochastic control in discrete time (2014)A theory of Markovian time-in…Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Time-Inconsistent Stochastic …MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Optimal time-consistent inves…Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent inves…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Non‐parametric Threshold Esti…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Robust numerical methods for contingent claims under jump diffusion processes (2004)Robust numerical methods for …Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…A Jump-Diffusion Model for Option Pricing (2002)A Jump-Diffusion Model for Op…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…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies (2021)On the Distribution of Termin…The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors (2020)The surprising robustness of …ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION (2020)ON TIME CONSISTENCY FOR MEAN-…Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies (2019)Optimal Asset Allocation for …Myopia and Inconsistency in Dynamic Utility Maximization (1955)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)On time-inconsistent stochastic control in continuous time (2017)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)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling (2012)Exploiting the errors: A simple approach for improved volatility forecasting (2015)The risk premia embedded in index options (2015)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)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 Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)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)The Behavior of Stock-Market Prices (1965)Time-changed Lévy processes and option pricing (2003)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2002A Jump-Diffusion Model for Option Pricing1,895 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
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  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2009Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps448 cited
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  • 2012Time-Inconsistent Stochastic Linear--Quadratic Control268 cited
  • 2004Robust numerical methods for contingent claims under jump diffusion processes261 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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216 cited
  • 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model154 cited
  • Cited by

    • 2020The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors46 cited
    • 2020ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION34 cited
    • 2019Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies31 cited
    • 2021On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies22 cited