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Dynamic Portfolio Choice with Linear Rebalancing Rules
16 references·2 citing·42 second hop
Dynamic Portfolio Choice with Linear Rebalancing Rules (2017)Dynamic Portfolio Choice with Linear Reba…Dynamic Trading with Predictable Returns and Transaction Costs (2013)Dynamic Trading with Predicta…Optimal trading strategy and supply/demand dynamics (2012)Optimal trading strategy and …Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…Adjustable robust solutions of uncertain linear programs (2004)Adjustable robust solutions o…Adjustable robust solutions of uncertain linear programs (2004)Adjustable robust solutions o…Monte Carlo Sampling Methods (2003)Monte Carlo Sampling MethodsStrategic Asset Allocation (2002)Strategic Asset AllocationOptimal execution of portfolio transactions (2001)Optimal execution of portfoli…Transaction costs and predictability: some utility cost calculations (1999)Transaction costs and predict…Optimal control of execution costs (1998)Optimal control of execution …Multifactor Explanations of Asset Pricing Anomalies (1996)Multifactor Explanations of A…Optimal Investment and Consumption with Transaction Costs (1994)Optimal Investment and Consum…Portfolio Selection with Transaction Costs (1990)Portfolio Selection with Tran…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Capital Market Equilibrium with Transaction Costs (1986)Capital Market Equilibrium wi…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Deep reinforcement learning for portfolio selection (2024)Deep reinforcement learning f…Dynamic Portfolio Execution (2017)Dynamic Portfolio ExecutionStochastic Approximation Methods for Constrained and Unconstrained Systems (1978)The Sample Average Approximation Method for Stochastic Discrete Optimization (2002)Bayesian Analysis of DSGE Models (2007)Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications (2009)Frameworks and Results in Distributionally Robust Optimization (2022)Common stock repurchases (1981)Continuous Auctions and Insider Trading (1985)Inefficiency in Analysts' Earnings Forecasts: Systematic Misreaction or Systematic Optimism? (1999)Does Algorithmic Trading Improve Liquidity? (2011)60 Years of portfolio optimization: Practical challenges and current trends (2013)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Common factors in prices, order flows, and liquidity (2001)Stealth-trading: Which traders' trades move stock prices? (2001)Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market (2014)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)The arbitrage theory of capital asset pricing (1976)The Cross-Section of Expected Stock Returns (1992)Industry costs of equity (1997)Stochastic Programming (1995)Robust Convex Optimization (1998)Robust solutions of uncertain linear programs (1999)Distributionally Robust Optimization and Its Tractable Approximations (2010)A practical guide to robust optimization (2015)Supply chain network design under uncertainty: A comprehensive review and future research directions (2017)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Investor Psychology and Security Market Under‐ and Overreactions (1998)Prospect Theory: An Analysis of Decision under Risk (1979)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Household Risk Management and Optimal Mortgage Choice (2003)Predicting the Equity Premium with Dividend Ratios (2003)Corporate Yield Spreads and Bond Liquidity (2007)Liquidity and Expected Returns: Lessons from Emerging Markets (2007)Arbitrage Theory in Continuous Time (1998)Arbitrage Theory in Continuous Time (2004)
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References

  • 1996Multifactor Explanations of Asset Pricing Anomalies6,710 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1986Economic Forces and the Stock Market5,258 cited
  • 2001Optimal execution of portfolio transactions1,598 cited
  • 2004Adjustable robust solutions of uncertain linear programs1,428 cited
  • 1990Portfolio Selection with Transaction Costs1,318 cited
  • 2002Strategic Asset Allocation1,279 cited
  • 1986Capital Market Equilibrium with Transaction Costs1,096 cited
  • 1998Optimal control of execution costs1,056 cited
  • 2003Monte Carlo Sampling Methods916 cited
  • 2004Adjustable robust solutions of uncertain linear programs833 cited
  • 1994Optimal Investment and Consumption with Transaction Costs622 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2013Dynamic Trading with Predictable Returns and Transaction Costs563 cited
  • 2012Optimal trading strategy and supply/demand dynamics560 cited
  • 1999Transaction costs and predictability: some utility cost calculations

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  • 2024Deep reinforcement learning for portfolio selection55 cited
  • 2017Dynamic Portfolio Execution42 cited