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ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION
16 references·3 citing·27 second hop
ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION (2020)ON TIME CONSISTENCY FOR MEAN-VARIANCE POR…On time-inconsistent stochastic control in continuous time (2017)On time-inconsistent stochast…A theory of Markovian time-inconsistent stochastic control in discrete time (2014)A theory of Markovian time-in…Time-Consistent Portfolio Management (2012)Time-Consistent Portfolio Man…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)BETTER THAN DYNAMIC MEAN‐VARI…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Investment and consumption without commitment (2008)Investment and consumption wi…Insurance: Mathematics and Economics (2004)Insurance: Mathematics and Ec…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…Dynamic Asset Allocation in a Mean-Variance Framework (1998)Dynamic Asset Allocation in a…Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuou…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Consistent Planning (1968)Consistent PlanningMyopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…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 …Time-Consistency of Optimal Investment under Smooth Ambiguity (2017)Time-Consistency of Optimal I…The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)On modelling and pricing weather derivatives (2002)A numerical scheme for BSDEs (2004)Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality (2005)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)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)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)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)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Models for construction of multivariate dependence – a comparison study (2008)A Maximum Principle for SDEs of Mean-Field Type (2010)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Is Everything Neutral? (1986)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Toward a positive theory of consumer choice (1980)
this work references cited by second hop

References

  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2004Insurance: Mathematics and Economics1,308 cited
  • 1998Arbitrage Theory in Continuous Time1,267 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 1968Consistent Planning384 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 2017On time-inconsistent stochastic control in continuous time325 cited
  • 2008Investment and consumption without commitment285 cited
  • 2014A theory of Markovian time-inconsistent stochastic control in discrete time224 cited
  • 2012Time-Consistent Portfolio Management138 cited
  • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM130 cited
  • 1998

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Dynamic Asset Allocation in a Mean-Variance Framework
120 cited

Cited by

  • 2020The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors46 cited
  • 2017Time-Consistency of Optimal Investment under Smooth Ambiguity33 cited
  • 2021On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies22 cited