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Mean–Variance Portfolio Optimization With State-Dependent Risk Aversion

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  • Tomas Björk
  • Agatha Murgoci
  • Xun Yu Zhou

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  • Tomas Björk & Agatha Murgoci & Xun Yu Zhou, 2014. "Mean–Variance Portfolio Optimization With State-Dependent Risk Aversion," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 1-24, January.
    • Handle: RePEc:bla:mathfi:v:24:y:2014:i:1:p:1-24
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    File URL: http://hdl.handle.net/10.1111/j.1467-9965.2011.00515.x
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    References listed on IDEAS

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    4. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    5. R. H. Strotz, 1955. "Myopia and Inconsistency in Dynamic Utility Maximization," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 23(3), pages 165-180.
    6. Duan Li & Wan‐Lung Ng, 2000. "Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation," Mathematical Finance, Wiley Blackwell, vol. 10(3), pages 387-406, July.
    7. Bezalel Peleg & Menahem E. Yaari, 1973. "On the Existence of a Consistent Course of Action when Tastes are Changing," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 40(3), pages 391-401.
    8. Nicolas Vieille & Jörgen Weibull, 2009. "Multiple solutions under quasi-exponential discounting," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(3), pages 513-526, June.
    9. Suleyman Basak & Georgy Chabakauri, 2010. "Dynamic Mean-Variance Asset Allocation," The Review of Financial Studies, Society for Financial Studies, vol. 23(8), pages 2970-3016, August.
    10. Ivar Ekeland & Traian A. Pirvu, 2007. "Investment and Consumption without Commitment," Papers 0708.0588, arXiv.org.
    11. Steven M. Goldman, 1980. "Consistent Plans," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(3), pages 533-537.
    12. Henry R. Richardson, 1989. "A Minimum Variance Result in Continuous Trading Portfolio Optimization," Management Science, INFORMS, vol. 35(9), pages 1045-1055, September.
    13. Isabelle Bajeux-Besnainou & Roland Portait, 1998. "Dynamic Asset Allocation in a Mean-Variance Framework," Management Science, INFORMS, vol. 44(11-Part-2), pages 79-95, November.
    14. Jianming Xia, 2005. "Mean–Variance Portfolio Choice: Quadratic Partial Hedging," Mathematical Finance, Wiley Blackwell, vol. 15(3), pages 533-538, July.
    15. Tomasz R. Bielecki & Hanqing Jin & Stanley R. Pliska & Xun Yu Zhou, 2005. "Continuous‐Time Mean‐Variance Portfolio Selection With Bankruptcy Prohibition," Mathematical Finance, Wiley Blackwell, vol. 15(2), pages 213-244, April.
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