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Mean-Variance Policy For Discrete-Time Cone-Constrained Markets: Time Consistency In Efficiency And The Minimum-Variance Signed Supermartingale Measure

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  • Xiangyu Cui
  • Duan Li
  • Xun Li

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Suggested Citation

  • Xiangyu Cui & Duan Li & Xun Li, 2017. "Mean-Variance Policy For Discrete-Time Cone-Constrained Markets: Time Consistency In Efficiency And The Minimum-Variance Signed Supermartingale Measure," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 471-504, April.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:2:p:471-504
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-2
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    Citations

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    Cited by:

    1. Tongyao Wang & Qitong Pan & Weiping Wu & Jianjun Gao & Ke Zhou, 2024. "Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time," Mathematics, MDPI, vol. 12(14), pages 1-17, July.
    2. Xiangyu Cui & Jianjun Gao & Lingjie Kong, 2024. "Limited Attention Allocation in a Stochastic Linear Quadratic System with Multiplicative Noise," Papers 2403.18528, arXiv.org.
    3. Xiangyu Cui & Jianjun Gao & Yun Shi, 2021. "Multi-period mean–variance portfolio optimization with management fees," Operational Research, Springer, vol. 21(2), pages 1333-1354, June.
    4. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
    5. Helu Xiao & Tiantian Ren & Zhongbao Zhou, 2019. "Time-Consistent Strategies for the Generalized Multiperiod Mean-Variance Portfolio Optimization Considering Benchmark Orientation," Mathematics, MDPI, vol. 7(8), pages 1-26, August.
    6. Yang Shen & Bin Zou, 2022. "Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models," Papers 2205.15905, arXiv.org.
    7. Weiping Wu & Jianjun Gao & Junguo Lu & Xun Li, 2018. "Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications," Papers 1806.03624, arXiv.org.
    8. Ling, Aifan & Sun, Jie & Wang, Meihua, 2020. "Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set," European Journal of Operational Research, Elsevier, vol. 285(1), pages 81-95.
    9. Xiangyu Cui & Yun Shi & Lu Xu, 2017. "Alleviating time inconsistent behaviors via a competition scheme," Naval Research Logistics (NRL), John Wiley & Sons, vol. 64(5), pages 357-372, August.
    10. Strub, Moris S. & Li, Duan & Cui, Xiangyu & Gao, Jianjun, 2019. "Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR," Journal of Economic Dynamics and Control, Elsevier, vol. 108(C).

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