IDEAS home Printed from https://ideas.repec.org/r/bla/mathfi/v10y2000i3p387-406.html
   My bibliography  Save this item

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2020. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Working Papers hal-02624308, HAL.
  2. Wang, Zengwu & Xia, Jianming & Zhang, Lihong, 2007. "Optimal investment for an insurer: The martingale approach," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 322-334, March.
  3. Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
  4. Yam, Sheung Chi Phillip & Yang, Hailiang & Yuen, Fei Lung, 2016. "Optimal asset allocation: Risk and information uncertainty," European Journal of Operational Research, Elsevier, vol. 251(2), pages 554-561.
  5. Shaolin Ji & Xiaomin Shi, 2016. "Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations," Papers 1606.05488, arXiv.org.
  6. Maite Cubas‐Díaz & Miguel Ángel Martínez Sedano, 2018. "Measures for Sustainable Investment Decisions and Business Strategy – A Triple Bottom Line Approach," Business Strategy and the Environment, Wiley Blackwell, vol. 27(1), pages 16-38, January.
  7. Cvitanic, Jaksa & Lazrak, Ali & Wang, Tan, 2008. "Implications of the Sharpe ratio as a performance measure in multi-period settings," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1622-1649, May.
  8. Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
  9. Yao, Haixiang & Li, Zhongfei & Chen, Shumin, 2014. "Continuous-time mean–variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 36(C), pages 244-251.
  10. Alev{s} v{C}ern'y & Christoph Czichowsky & Jan Kallsen, 2021. "Numeraire-invariant quadratic hedging and mean--variance portfolio allocation," Papers 2110.09416, arXiv.org, revised Jan 2023.
  11. Wan-Kai Pang & Yuan-Hua Ni & Xun Li & Ka-Fai Cedric Yiu, 2013. "Continuous-time Mean-Variance Portfolio Selection with Stochastic Parameters," Papers 1302.6669, arXiv.org.
  12. Wu, Huiling & Chen, Hua, 2015. "Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching," Economic Modelling, Elsevier, vol. 46(C), pages 79-90.
  13. Xiang Meng, 2019. "Dynamic Mean-Variance Portfolio Optimisation," Papers 1907.03093, arXiv.org.
  14. Zhou Fang, 2023. "Continuous-Time Path-Dependent Exploratory Mean-Variance Portfolio Construction," Papers 2303.02298, arXiv.org.
  15. Shubhangi Sikaria & Rituparna Sen & Neelesh S. Upadhye, 2019. "Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection," Papers 1911.07526, arXiv.org, revised Aug 2020.
  16. Pfiffelmann, Marie & Roger, Tristan & Bourachnikova, Olga, 2016. "When Behavioral Portfolio Theory meets Markowitz theory," Economic Modelling, Elsevier, vol. 53(C), pages 419-435.
  17. Cui, Xiangyu & Gao, Jianjun & Li, Xun & Li, Duan, 2014. "Optimal multi-period mean–variance policy under no-shorting constraint," European Journal of Operational Research, Elsevier, vol. 234(2), pages 459-468.
  18. Cong, F. & Oosterlee, C.W., 2016. "Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 64(C), pages 23-38.
  19. F. Cong & C. W. Oosterlee, 2017. "On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
  20. Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
  21. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
  22. Pun, Chi Seng, 2018. "Time-consistent mean-variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 75(C), pages 281-292.
  23. Shi, Yun, 2020. "Timing Idiosyncratic Volatility and Dynamic Asset Allocation," SocArXiv 9kber, Center for Open Science.
  24. Pier Francesco Procacci & Tomaso Aste, 2022. "Portfolio optimization with sparse multivariate modeling," Journal of Asset Management, Palgrave Macmillan, vol. 23(6), pages 445-465, October.
  25. Shuzhen Yang, 2019. "Multi-time state mean-variance model in continuous time," Papers 1912.01793, arXiv.org.
  26. Jianfeng Liang & Shuzhong Zhang & Duan Li, 2008. "Optioned Portfolio Selection: Models And Analysis," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 569-593, October.
  27. Celikyurt, U. & Ozekici, S., 2007. "Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach," European Journal of Operational Research, Elsevier, vol. 179(1), pages 186-202, May.
  28. Zhiping Chen & Jia Liu & Gang Li & Zhe Yan, 2016. "Composite time-consistent multi-period risk measure and its application in optimal portfolio selection," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(3), pages 515-540, October.
  29. Jack Ochs & Li Qi, 2006. "Information Use and Transference," Working Paper 236, Department of Economics, University of Pittsburgh, revised Jan 2006.
  30. Ying Hu & Xiaomin Shi & Zuo Quan Xu, 2022. "Non-homogeneous stochastic LQ control with regime switching and random coefficients," Papers 2201.01433, arXiv.org, revised Jul 2023.
  31. Luca De Gennaro Aquino & Sascha Desmettre & Yevhen Havrylenko & Mogens Steffensen, 2024. "Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time," Papers 2407.16525, arXiv.org, revised Oct 2024.
  32. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," CeRP Working Papers 89, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  33. Yanfei Bai & Zhongbao Zhou & Rui Gao & Helu Xiao, 2020. "Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests," Mathematics, MDPI, vol. 8(1), pages 1-26, January.
  34. Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
  35. Wu, Bo & Li, Lingfei, 2024. "Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  36. Huyên Pham & Xiaoli Wei & Chao Zhou, 2021. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Working Papers hal-01867133, HAL.
  37. K. Liagkouras & K. Metaxiotis, 2019. "Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem," Annals of Operations Research, Springer, vol. 272(1), pages 119-137, January.
  38. Rodrigo Gómez Monge & Evaristo Galeana Figueroa & Víctor G. Alfaro-García & José M. Merigó & Ronald R. Yager, 2021. "Variances and Logarithmic Aggregation Operators: Extended Tools for Decision-Making Processes," Mathematics, MDPI, vol. 9(16), pages 1-19, August.
  39. Chun Hung Chiu & Xun Yu Zhou, 2009. "The premium of dynamic trading," Papers 0906.0999, arXiv.org.
  40. Nakano Yumiharu, 2006. "Mean-risk optimization for index tracking," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.
  41. De Gennaro Aquino, Luca & Sornette, Didier & Strub, Moris S., 2023. "Portfolio selection with exploration of new investment assets," European Journal of Operational Research, Elsevier, vol. 310(2), pages 773-792.
  42. Hendri Adriaens & Bas Donkers, 2004. "Extending the CAPM model," Computing in Economics and Finance 2004 204, Society for Computational Economics.
  43. Roberto Baviera & Giulia Bianchi, 2021. "Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach," Journal of Global Optimization, Springer, vol. 81(2), pages 469-491, October.
  44. Wang, J. & Forsyth, P.A., 2011. "Continuous time mean variance asset allocation: A time-consistent strategy," European Journal of Operational Research, Elsevier, vol. 209(2), pages 184-201, March.
  45. repec:hal:wpaper:hal-04086378 is not listed on IDEAS
  46. Yao, Haixiang & Lai, Yongzeng & Ma, Qinghua & Jian, Minjie, 2014. "Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 84-92.
  47. Nicole Bäuerle & Stefanie Grether, 2015. "Complete markets do not allow free cash flow streams," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(2), pages 137-146, April.
  48. Glensk, Barbara & Madlener, Reinhard, 2011. "Dynamic Portfolio Selection Methods for Power Generation Assets," FCN Working Papers 16/2011, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
  49. Nicole Bäuerle & Jonathan Ott, 2011. "Markov Decision Processes with Average-Value-at-Risk criteria," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(3), pages 361-379, December.
  50. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
  51. Yang Shen & Bin Zou, 2022. "Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models," Papers 2205.15905, arXiv.org.
  52. Chiu, Mei Choi & Wong, Hoi Ying, 2011. "Mean-variance portfolio selection of cointegrated assets," Journal of Economic Dynamics and Control, Elsevier, vol. 35(8), pages 1369-1385, August.
  53. Josa-Fombellida, Ricardo & Rincon-Zapatero, Juan Pablo, 2008. "Mean-variance portfolio and contribution selection in stochastic pension funding," European Journal of Operational Research, Elsevier, vol. 187(1), pages 120-137, May.
  54. Zhiping Chen & Liyuan Wang & Ping Chen & Haixiang Yao, 2019. "Continuous-Time Mean–Variance Optimization For Defined Contribution Pension Funds With Regime-Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-33, September.
  55. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  56. Jakub Trybuła & Dariusz Zawisza, 2019. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 966-987, August.
  57. Chiu, Mei Choi & Li, Duan, 2006. "Asset and liability management under a continuous-time mean-variance optimization framework," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 330-355, December.
  58. Bo Li & Yufei Sun & Kok Lay Teo, 2022. "An analytic solution for multi-period uncertain portfolio selection problem," Fuzzy Optimization and Decision Making, Springer, vol. 21(2), pages 319-333, June.
  59. René Ferland & François Watier, 2010. "Mean–variance efficiency with extended CIR interest rates," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 26(1), pages 71-84, January.
  60. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
  61. Haoran Wang & Shi Yu, 2021. "Robo-Advising: Enhancing Investment with Inverse Optimization and Deep Reinforcement Learning," Papers 2105.09264, arXiv.org.
  62. Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, vol. 1(3), pages 1-18, November.
  63. Xiangyu Cui & Xun Li & Duan Li & Yun Shi, 2014. "Time Consistent Behavior Portfolio Policy for Dynamic Mean-Variance Formulation," Papers 1408.6070, arXiv.org, revised Aug 2015.
  64. Li, Yan & Mi, Hui, 2021. "Portfolio optimization under safety first expected utility with nonlinear probability distortion," Chaos, Solitons & Fractals, Elsevier, vol. 147(C).
  65. Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2001. "Single Period Markowitz Portfolio Selection, Performance Gading and Duality: A Variation on Luenberger'a Shortage Function," Working Papers 0203, Departament Empresa, Universitat Autònoma de Barcelona, revised Apr 2002.
  66. Huyen Pham & Xiaoli Wei & Chao Zhou, 2018. "Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach," Papers 1809.01464, arXiv.org, revised Dec 2021.
  67. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
  68. Reza Keykhaei, 2020. "Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time: multi-period mean–variance formulation," Operational Research, Springer, vol. 20(3), pages 1231-1254, September.
  69. Vasyl Golosnoy, 2010. "No-transaction bounds and estimation risk," Quantitative Finance, Taylor & Francis Journals, vol. 10(5), pages 487-493.
  70. Li, Yongwu & Li, Zhongfei, 2013. "Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 86-97.
  71. Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
  72. Briec, Walter & Kerstens, Kristiaan, 2009. "Multi-horizon Markowitz portfolio performance appraisals: A general approach," Omega, Elsevier, vol. 37(1), pages 50-62, February.
  73. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013. "On the equivalence of quadratic optimization problems commonly used in portfolio theory," European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
  74. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
  75. Huyên Pham & Xiaoli Wei & Chao Zhou, 2022. "Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 349-404, January.
  76. 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.
  77. Yun Shi & Xun Li & Xiangyu Cui, 2017. "Better than pre-committed optimal mean-variance policy in a jump diffusion market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 327-347, June.
  78. Keffert, Henk, 2024. "Robo-advising: Optimal investment with mismeasured and unstable risk preferences," European Journal of Operational Research, Elsevier, vol. 315(1), pages 378-392.
  79. Xu Guo & Raymond H. Chan & Wing-Keung Wong & Lixing Zhu, 2019. "Mean–variance, mean–VaR, and mean–CVaR models for portfolio selection with background risk," Risk Management, Palgrave Macmillan, vol. 21(2), pages 73-98, June.
  80. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2010, January-A.
  81. Hui Niu & Siyuan Li & Jian Li, 2022. "MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization," Papers 2210.01774, arXiv.org.
  82. Weiping Wu & Jianjun Gao & Junguo Lu & Xun Li, 2018. "Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications," Papers 1806.03624, arXiv.org.
  83. Fu, Chenpeng & Lari-Lavassani, Ali & Li, Xun, 2010. "Dynamic mean-variance portfolio selection with borrowing constraint," European Journal of Operational Research, Elsevier, vol. 200(1), pages 312-319, January.
  84. Andrew E. B. Lim, 2004. "Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market," Mathematics of Operations Research, INFORMS, vol. 29(1), pages 132-161, February.
  85. Suping Cao & Fucai Qian & Xiaomei Wang, 2016. "Exact optimal solution for a class of dual control problems," International Journal of Systems Science, Taylor & Francis Journals, vol. 47(9), pages 2078-2087, July.
  86. Khodamoradi, T. & Salahi, M. & Najafi, A.R., 2020. "Robust CCMV model with short selling and risk-neutral interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
  87. Xiangyu Cui & Duan Li & Xun Li, 2014. "Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure," Papers 1403.0718, arXiv.org.
  88. 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.
  89. Spiridon Penev & Pavel V. Shevchenko & Wei Wu, 2021. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," Papers 2108.02633, arXiv.org.
  90. Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2018. "Time-consistent mean–variance portfolio optimization: A numerical impulse control approach," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 9-28.
  91. Jiao, P.H. & Chen, J.J. & Peng, K. & Zhao, Y.L. & Xin, K.F., 2020. "Multi-objective mean-semi-entropy model for optimal standalone micro-grid planning with uncertain renewable energy resources," Energy, Elsevier, vol. 191(C).
  92. Alessandra Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Carlo Alberto Notebooks 553, Collegio Carlo Alberto.
  93. Sana Braiek & Rihab Bedoui & Lotfi Belkacem, 2022. "Islamic portfolio optimization under systemic risk: Vine Copula‐CoVaR based model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1321-1339, January.
  94. Felix Fie{ss}inger & Mitja Stadje, 2023. "Time-Consistent Asset Allocation for Risk Measures in a L\'evy Market," Papers 2305.09471, arXiv.org, revised Oct 2024.
  95. Haoran Wang & Xun Yu Zhou, 2020. "Continuous‐time mean–variance portfolio selection: A reinforcement learning framework," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1273-1308, October.
  96. Stefania Corsaro & Valentina De Simone & Zelda Marino & Francesca Perla, 2020. "$$l_1$$ l 1 -Regularization for multi-period portfolio selection," Annals of Operations Research, Springer, vol. 294(1), pages 75-86, November.
  97. Xiaomin Shi & Zuo Quan Xu, 2024. "Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach," Papers 2406.03709, arXiv.org.
  98. Yong-Jun Liu & Wei-Guo Zhang, 2018. "Multiperiod Fuzzy Portfolio Selection Optimization Model Based on Possibility Theory," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 941-968, May.
  99. Min Dai & Hanqing Jin & Steven Kou & Yuhong Xu, 2021. "A Dynamic Mean-Variance Analysis for Log Returns," Management Science, INFORMS, vol. 67(2), pages 1093-1108, February.
  100. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models," Mathematics, MDPI, vol. 9(18), pages 1-25, September.
  101. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
  102. Duy-Minh Dang & P. A. Forsyth & K. R. Vetzal, 2017. "The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 335-351, March.
  103. Tarun Chitra, 2019. "Competitive equilibria between staking and on-chain lending," Papers 2001.00919, arXiv.org, revised Feb 2020.
  104. Andrew E. B. Lim & Xun Yu Zhou, 2002. "Mean-Variance Portfolio Selection with Random Parameters in a Complete Market," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 101-120, February.
  105. Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang, 2020. "Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 231-251, January.
  106. Alev{s} v{C}ern'y, 2020. "The Hansen ratio in mean--variance portfolio theory," Papers 2007.15980, arXiv.org.
  107. Peter A. Forsyth & Kenneth R. Vetzal, 2017. "Dynamic mean variance asset allocation: Tests for robustness," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-37, June.
  108. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
  109. Jin, Xiu & Chen, Na & Yuan, Ying, 2019. "Multi-period and tri-objective uncertain portfolio selection model: A behavioral approach," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 492-504.
  110. O. L. V. Costa & R. B. Nabholz, 2007. "Multiperiod Mean-Variance Optimization with Intertemporal Restrictions," Journal of Optimization Theory and Applications, Springer, vol. 134(2), pages 257-274, August.
  111. Chendi Ni & Yuying Li & Peter A. Forsyth, 2023. "Neural Network Approach to Portfolio Optimization with Leverage Constraints:a Case Study on High Inflation Investment," Papers 2304.05297, arXiv.org, revised May 2023.
  112. Moris S. Strub & Duan Li, 2020. "Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment," Operations Research, INFORMS, vol. 68(1), pages 199-213, January.
  113. Tahereh Khodamoradi & Maziar Salahi & Ali Reza Najafi, 2021. "Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(1), pages 197-214, June.
  114. Jie Xiong & Zuo quan Xu & Jiayu Zheng, 2019. "Mean-variance portfolio selection under partial information with drift uncertainty," Papers 1901.03030, arXiv.org, revised Oct 2020.
  115. N'Golo Kone, 2020. "A Multi-Period Portfolio Selection in a Large Financial Market," Working Paper 1439, Economics Department, Queen's University.
  116. Jun Yu, 2014. "Optimal Asset-Liability Management for an Insurer Under Markov Regime Switching Jump-Diffusion Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 317-330, November.
  117. Yao, Haixiang & Li, Zhongfei & Li, Duan, 2016. "Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability," European Journal of Operational Research, Elsevier, vol. 252(3), pages 837-851.
  118. Mengjin Zhao & Guangyan Jia, 2020. "Continuous-Time Risk Contribution of the Terminal Variance and its Related Risk Budgeting Problem," Papers 2011.10747, arXiv.org, revised Feb 2022.
  119. Gabriela Kov'av{c}ov'a & Birgit Rudloff, 2018. "Time consistency of the mean-risk problem," Papers 1806.10981, arXiv.org, revised Jan 2020.
  120. Mikhail Zhitlukhin, 2018. "Monotone Sharpe ratios and related measures of investment performance," Papers 1809.10193, arXiv.org, revised May 2021.
  121. Peter A. Forsyth & Yuying Li & Kenneth R. Vetzal, 2017. "Are target date funds dinosaurs? Failure to adapt can lead to extinction," Papers 1705.00543, arXiv.org.
  122. Sun, Jingyun & Li, Zhongfei & Zeng, Yan, 2016. "Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 158-172.
  123. Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014. "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316.
  124. Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
  125. Yumo Zhang, 2022. "Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate," Annals of Finance, Springer, vol. 18(4), pages 511-544, December.
  126. Wong, K.C. & Yam, S.C.P. & Zeng, J., 2019. "Mean-risk portfolio management with bankruptcy prohibition," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 153-172.
  127. Yao, Haixiang & Zeng, Yan & Chen, Shumin, 2013. "Multi-period mean–variance asset–liability management with uncontrolled cash flow and uncertain time-horizon," Economic Modelling, Elsevier, vol. 30(C), pages 492-500.
  128. Bogdan Grechuk & Michael Zabarankin, 2017. "Synergy effect of cooperative investment," Annals of Operations Research, Springer, vol. 249(1), pages 409-431, February.
  129. de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016. "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, vol. 16(C), pages 93-102.
  130. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: a Stochastic Optimal Control Approach," Papers 1804.05354, arXiv.org.
  131. Zhibin Liang & Junna Bi & Kam Chuen Yuen & Caibin Zhang, 2016. "Optimal mean–variance reinsurance and investment in a jump-diffusion financial market with common shock dependence," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 84(1), pages 155-181, August.
  132. Shaolin Ji & Hanqing Jin & Xiaomin Shi, 2017. "Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients," Papers 1705.06141, arXiv.org, revised Nov 2022.
  133. Li, Yuying & Forsyth, Peter A., 2019. "A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 189-204.
  134. Xin Huang & Duan Li & Daniel Zhuoyu Long, 2020. "Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems," Papers 2010.08985, arXiv.org.
  135. Yuan Zhou & Zhe Wu, 2013. "Mean-Variance Portfolio Selection with Margin Requirements," Journal of Mathematics, Hindawi, vol. 2013, pages 1-9, April.
  136. repec:dgr:rugccs:200406 is not listed on IDEAS
  137. Christoph Czichowsky, 2012. "Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time," Papers 1205.4748, arXiv.org.
  138. Yu Li & Yuhan Wu & Shuhua Zhang, 2024. "The mean-variance portfolio selection based on the average and current profitability of the risky asset," Papers 2408.07969, arXiv.org.
  139. Stefania Corsaro & Valentina De Simone & Zelda Marino & Salvatore Scognamiglio, 2022. "l 1 -Regularization in Portfolio Selection with Machine Learning," Mathematics, MDPI, vol. 10(4), pages 1-15, February.
  140. Shiyu Wang & Houping Xiao & Allan Cohen, 2021. "Adaptive Weight Estimation of Latent Ability: Application to Computerized Adaptive Testing With Response Revision," Journal of Educational and Behavioral Statistics, , vol. 46(5), pages 560-591, October.
  141. Y. Zhang & Z. Jin & J. Wei & G. Yin, 2022. "Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model," Papers 2205.08743, arXiv.org.
  142. Malevergne, Y. & Sornette, D., 2007. "Self-consistent asset pricing models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 382(1), pages 149-171.
  143. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
  144. Pun, Chi Seng & Wong, Hoi Ying, 2019. "A linear programming model for selection of sparse high-dimensional multiperiod portfolios," European Journal of Operational Research, Elsevier, vol. 273(2), pages 754-771.
  145. Mei Choi Chiu & Hoi Ying Wong & Duan Li, 2012. "Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events," Risk Analysis, John Wiley & Sons, vol. 32(11), pages 1856-1872, November.
  146. Areski Cousin & J'er^ome Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Papers 2305.16152, arXiv.org, revised Jun 2023.
  147. Yu, Shi & Wang, Haoran & Dong, Chaosheng, 2023. "Learning risk preferences from investment portfolios using inverse optimization," Research in International Business and Finance, Elsevier, vol. 64(C).
  148. Yuchen Li & Zongxia Liang & Shunzhi Pang, 2022. "Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model," Papers 2211.12168, arXiv.org, revised May 2024.
  149. P. A. Forsyth & K. R. Vetzal, 2017. "Robust Asset Allocation For Long-Term Target-Based Investing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-32, May.
  150. Wang, J. & Forsyth, P.A., 2010. "Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 207-230, February.
  151. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility," Risks, MDPI, vol. 9(4), pages 1-21, March.
  152. Agostino Capponi & Sveinn Ólafsson & Thaleia Zariphopoulou, 2022. "Personalized Robo-Advising: Enhancing Investment Through Client Interaction," Management Science, INFORMS, vol. 68(4), pages 2485-2512, April.
  153. Elena Vigna, 2009. "Mean-variance inefficiency of CRRA and CARA utility functions for portfolio selection in defined contribution pension schemes," Carlo Alberto Notebooks 108, Collegio Carlo Alberto, revised 2009.
  154. Heping XIONG & Jingming ZHOU, 2013. "On Tobin's Multiperiod Portfolio Theorem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 199-208, October.
  155. Zhang, Ling & Zhang, Hao & Yao, Haixiang, 2018. "Optimal investment management for a defined contribution pension fund under imperfect information," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 210-224.
  156. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9, July-Dece.
  157. Yao, Haixiang & Lai, Yongzeng & Li, Yong, 2013. "Continuous-time mean–variance asset–liability management with endogenous liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 6-17.
  158. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2020. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Papers 2006.01979, arXiv.org.
  159. Cui, Xiangyu & Li, Duan & Shi, Yun, 2017. "Self-coordination in time inconsistent stochastic decision problems: A planner–doer game framework," Journal of Economic Dynamics and Control, Elsevier, vol. 75(C), pages 91-113.
  160. Chun Hung Chiu & Xun Yu Zhou, 2011. "The premium of dynamic trading," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 115-123.
  161. Shihao Zhu & Jingtao Shi, 2019. "Optimal Reinsurance and Investment Strategies under Mean-Variance Criteria: Partial and Full Information," Papers 1906.08410, arXiv.org, revised Jun 2020.
  162. Yuki Shigeta, 2016. "Optimality of Naive Investment Strategies in Dynamic MeanVariance Optimization Problems with Multiple Priors," Discussion papers e-16-004, Graduate School of Economics , Kyoto University.
  163. Hanqing Jin & Xun Yu Zhou, 2008. "Behavioral Portfolio Selection In Continuous Time," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 385-426, July.
  164. Xun Li & Zuo Quan Xu, 2015. "Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio," Papers 1507.06850, arXiv.org.
  165. Yanwei Jia & Xun Yu Zhou, 2021. "Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms," Papers 2111.11232, arXiv.org, revised Jul 2022.
  166. Aivaliotis, Georgios & Palczewski, Jan, 2014. "Investment strategies and compensation of a mean–variance optimizing fund manager," European Journal of Operational Research, Elsevier, vol. 234(2), pages 561-570.
  167. Bekker, Paul A., 2004. "A mean-variance frontier in discrete and continuous time," CCSO Working Papers 200406, University of Groningen, CCSO Centre for Economic Research.
  168. Bingyan Han & Chi Seng Pun & Hoi Ying Wong, 2021. "Robust state-dependent mean–variance portfolio selection: a closed-loop approach," Finance and Stochastics, Springer, vol. 25(3), pages 529-561, July.
  169. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  170. Zhang, Qingye & Gao, Yan, 2016. "Optimal consumption—portfolio problem with CVaR constraints," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 516-521.
  171. Alessandro Milazzo & Elena Vigna, 2018. "The Italian Pension Gap: A Stochastic Optimal Control Approach," Risks, MDPI, vol. 6(2), pages 1-20, April.
  172. Zilan Liu & Huanying Zhang & Yijun Wang & Ya Huang, 2024. "Optimal Investment for Defined-Contribution Pension Plans with the Return of Premium Clause under Partial Information," Mathematics, MDPI, vol. 12(13), pages 1-22, July.
  173. Zeng, Yan & Li, Zhongfei & Lai, Yongzeng, 2013. "Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 498-507.
  174. Rubio-Herrero, Javier & Baykal-Gürsoy, Melike, 2020. "Mean-variance analysis of the newsvendor problem with price-dependent, isoelastic demand," European Journal of Operational Research, Elsevier, vol. 283(3), pages 942-953.
  175. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
  176. Zhang, Wei-Guo & Liu, Yong-Jun & Xu, Wei-Jun, 2012. "A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs," European Journal of Operational Research, Elsevier, vol. 222(2), pages 341-349.
  177. Ji, Shaolin & Peng, Shige, 2008. "Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection," Stochastic Processes and their Applications, Elsevier, vol. 118(6), pages 952-967, June.
  178. Xu, Liang & Gao, Chunyan & Kou, Gang & Liu, Qinjun, 2017. "Comonotonic approximation to periodic investment problems under stochastic drift," European Journal of Operational Research, Elsevier, vol. 262(1), pages 251-261.
  179. Menoncin, Francesco & Vigna, Elena, 2017. "Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 172-184.
  180. Mei Choi Chiu & Chi Seng Pun & Hoi Ying Wong, 2017. "Big Data Challenges of High‐Dimensional Continuous‐Time Mean‐Variance Portfolio Selection and a Remedy," Risk Analysis, John Wiley & Sons, vol. 37(8), pages 1532-1549, August.
  181. 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.
  182. Zhang, Miao & Chen, Ping & Yao, Haixiang, 2017. "Mean-variance portfolio selection with only risky assets under regime switching," Economic Modelling, Elsevier, vol. 62(C), pages 35-42.
  183. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  184. Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo, 2017. "Optimal hedging with basis risk under mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 1-15.
  185. Zhang, Miao & Chen, Ping, 2016. "Mean–variance asset–liability management under constant elasticity of variance process," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 11-18.
  186. repec:zbw:bofrdp:2008_005 is not listed on IDEAS
  187. Liu, Yong-Jun & Zhang, Wei-Guo, 2015. "A multi-period fuzzy portfolio optimization model with minimum transaction lots," European Journal of Operational Research, Elsevier, vol. 242(3), pages 933-941.
  188. Haoran Wang & Xun Yu Zhou, 2019. "Continuous-Time Mean-Variance Portfolio Selection: A Reinforcement Learning Framework," Papers 1904.11392, arXiv.org, revised May 2019.
  189. Tiago P. Filomena & Miguel A. Lejeune, 2014. "Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 308-329, April.
  190. Chen, Zhi-ping & Li, Gang & Guo, Ju-e, 2013. "Optimal investment policy in the time consistent mean–variance formulation," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 145-156.
  191. Ying Fu & Kien Ng & Boray Huang & Huei Huang, 2015. "Portfolio optimization with transaction costs: a two-period mean-variance model," Annals of Operations Research, Springer, vol. 233(1), pages 135-156, October.
  192. Ma, Shuai & Ma, Xiaoteng & Xia, Li, 2023. "A unified algorithm framework for mean-variance optimization in discounted Markov decision processes," European Journal of Operational Research, Elsevier, vol. 311(3), pages 1057-1067.
  193. Ryle S. Perera, 2020. "Provisions for bank deposit withdrawals and portfolio selection," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-32, March.
  194. Roberto Baviera & Giulia Bianchi, 2019. "Model risk in mean-variance portfolio selection: an analytic solution to the worst-case approach," Papers 1902.06623, arXiv.org, revised Dec 2019.
  195. Pieter M. van Staden & Peter A. Forsyth & Yuying Li, 2023. "A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming," Papers 2303.08968, arXiv.org.
  196. Zhang, Caibin & Liang, Zhibin, 2022. "Optimal time-consistent reinsurance and investment strategies for a jump–diffusion financial market without cash," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
  197. Peter A. Forsyth & Kenneth R. Vetzal, 2019. "Defined Contribution Pension Plans: Who Has Seen the Risk?," JRFM, MDPI, vol. 12(2), pages 1-27, April.
  198. Bian, Lihua & Li, Zhongfei & Yao, Haixiang, 2018. "Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 78-94.
  199. Juan M. Gómez & Yeny E. Rodríguez, 2022. "Multiperiod Portfolio of Energy Purchasing Strategies including Climate Scenarios," Energies, MDPI, vol. 15(9), pages 1-25, April.
  200. Christoph Czichowsky, 2013. "Time-consistent mean-variance portfolio selection in discrete and continuous time," Finance and Stochastics, Springer, vol. 17(2), pages 227-271, April.
  201. Nicole Bäuerle & André Mundt, 2009. "Dynamic mean-risk optimization in a binomial model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(2), pages 219-239, October.
  202. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, vol. 28(4), pages 1489-1497, July.
  203. Wu, Huiling & Li, Zhongfei, 2012. "Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 371-384.
  204. Z. F. Li & H. Yang & X. T. Deng, 2007. "Optimal Dynamic Portfolio Selection with Earnings-at-Risk," Journal of Optimization Theory and Applications, Springer, vol. 132(3), pages 459-473, March.
  205. Chunhui Xu & Yinyu Ye, 2024. "Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 551-577, July.
  206. 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.
  207. Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Continuous time mean-variance-utility portfolio problem and its equilibrium strategy," Papers 2005.06782, arXiv.org, revised Nov 2020.
  208. M. C. Chiu & D. Li, 2009. "Asset-Liability Management Under the Safety-First Principle," Journal of Optimization Theory and Applications, Springer, vol. 143(3), pages 455-478, December.
  209. Zhang, Hanwen & Dang, Duy-Minh, 2024. "A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 219(C), pages 112-140.
  210. Bin Li & Steven C. H. Hoi, 2012. "Online Portfolio Selection: A Survey," Papers 1212.2129, arXiv.org, revised May 2013.
  211. Alessandro Milazzo & Elena Vigna, 2018. "“The Italian Pension Gap: a Stochastic Optimal Control Approach"," CeRP Working Papers 179, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  212. Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
  213. Dang, D.M. & Forsyth, P.A., 2016. "Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach," European Journal of Operational Research, Elsevier, vol. 250(3), pages 827-841.
  214. U. Çakmak & S. Özekici, 2006. "Portfolio optimization in stochastic markets," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 63(1), pages 151-168, February.
  215. Joost Reyes Santos & Yacov Y. Haimes, 2004. "Applying the Partitioned Multiobjective Risk Method (PMRM) to Portfolio Selection," Risk Analysis, John Wiley & Sons, vol. 24(3), pages 697-713, June.
  216. Hanwen Zhang & Duy-Minh Dang, 2023. "A monotone numerical integration method for mean-variance portfolio optimization under jump-diffusion models," Papers 2309.05977, arXiv.org.
  217. Leitner, Johannes, 2000. "Mean-Variance Efficiency and Intertemporal Price for Risk," CoFE Discussion Papers 00/35, University of Konstanz, Center of Finance and Econometrics (CoFE).
  218. T. R. B. den Haan & K. W. Chau & M. van der Schans & C. W. Oosterlee, 2020. "Rule-based Strategies for Dynamic Life Cycle Investment," Papers 2011.02596, arXiv.org.
  219. Yuan, Yu & Han, Xia & Liang, Zhibin & Yuen, Kam Chuen, 2023. "Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework," European Journal of Operational Research, Elsevier, vol. 311(2), pages 581-595.
  220. Man Yiu Tsang & Tony Sit & Hoi Ying Wong, 2022. "Adaptive Robust Online Portfolio Selection," Papers 2206.01064, arXiv.org.
  221. Najafi, Amir Abbas & Mushakhian, Siamak, 2015. "Multi-stage stochastic mean–semivariance–CVaR portfolio optimization under transaction costs," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 445-458.
  222. Li Chen & Simai He & Shuzhong Zhang, 2011. "Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection," Operations Research, INFORMS, vol. 59(4), pages 847-865, August.
  223. Yu, Mei & Takahashi, Satoru & Inoue, Hiroshi & Wang, Shouyang, 2010. "Dynamic portfolio optimization with risk control for absolute deviation model," European Journal of Operational Research, Elsevier, vol. 201(2), pages 349-364, March.
  224. Elena Vigna, 2016. "On time consistency for mean-variance portfolio selection," Carlo Alberto Notebooks 476, Collegio Carlo Alberto.
  225. Caibin Zhang & Zhibin Liang & Kam Chuen Yuen, 2019. "Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-45, March.
  226. Chang, Hao, 2015. "Dynamic mean–variance portfolio selection with liability and stochastic interest rate," Economic Modelling, Elsevier, vol. 51(C), pages 172-182.
  227. Zhou, Zhongbao & Xiao, Helu & Yin, Jialing & Zeng, Ximei & Lin, Ling, 2016. "Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 187-202.
  228. Yao, Haixiang & Chen, Ping & Li, Xun, 2016. "Multi-period defined contribution pension funds investment management with regime-switching and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 103-113.
  229. Chen, Ping & Yam, S.C.P., 2013. "Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 871-883.
  230. Guo, Sini & Yu, Lean & Li, Xiang & Kar, Samarjit, 2016. "Fuzzy multi-period portfolio selection with different investment horizons," European Journal of Operational Research, Elsevier, vol. 254(3), pages 1026-1035.
  231. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
  232. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
  233. Ethem Çanakoğlu & Süleyman Özekici, 2009. "Portfolio selection in stochastic markets with exponential utility functions," Annals of Operations Research, Springer, vol. 166(1), pages 281-297, February.
  234. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2021. "Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time," Post-Print hal-02624308, HAL.
  235. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
  236. Yang Shen & Bin Zou, 2021. "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process," Papers 2101.03954, arXiv.org.
  237. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2018. "Dynamic safety first expected utility model," European Journal of Operational Research, Elsevier, vol. 271(1), pages 141-154.
  238. Xiangyu Cui & Xun Li & Duan Li & Yun Shi, 2017. "Time consistent behavioral portfolio policy for dynamic mean–variance formulation," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 68(12), pages 1647-1660, December.
  239. Gianfranco Guastaroba & Renata Mansini & M. Speranza, 2009. "Models and Simulations for Portfolio Rebalancing," Computational Economics, Springer;Society for Computational Economics, vol. 33(3), pages 237-262, April.
  240. Zhang, Cheng & Gong, Xiaomin & Zhang, Jingshu & Chen, Zhiwei, 2023. "Dynamic portfolio allocation for financial markets: A perspective of competitive-cum-compensatory strategy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
  241. Wonbin Ahn & Hee Soo Lee & Hosun Ryou & Kyong Joo Oh, 2020. "Asset Allocation Model for a Robo-Advisor Using the Financial Market Instability Index and Genetic Algorithms," Sustainability, MDPI, vol. 12(3), pages 1-15, January.
  242. Wu, Huiling & Zeng, Yan & Yao, Haixiang, 2014. "Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability," Economic Modelling, Elsevier, vol. 36(C), pages 69-78.
  243. Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou, 2019. "Personalized Robo-Advising: Enhancing Investment through Client Interaction," Papers 1911.01391, arXiv.org, revised Nov 2020.
  244. Černý, Aleš & Czichowsky, Christoph & Kallsen, Jan, 2021. "Numeraire-invariant quadratic hedging and mean–variance portfolio allocation," LSE Research Online Documents on Economics 112612, London School of Economics and Political Science, LSE Library.
  245. Zilan Liu & Yijun Wang & Ya Huang & Jieming Zhou, 2022. "Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model," Mathematics, MDPI, vol. 10(7), pages 1-22, March.
  246. Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Mean-variance-utility portfolio selection with time and state dependent risk aversion," Papers 2007.06510, arXiv.org, revised Aug 2020.
  247. Yen H. Lok, 2018. "On the backtesting of trading strategies," 2018 Papers plo493, Job Market Papers.
  248. Gao, Jianjun & Xiong, Yan & Li, Duan, 2016. "Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time," European Journal of Operational Research, Elsevier, vol. 249(2), pages 647-656.
  249. Wei, Jiaqin & Wang, Tianxiao, 2017. "Time-consistent mean–variance asset–liability management with random coefficients," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 84-96.
  250. Huiling Wu, 2013. "Mean-Variance Portfolio Selection with a Stochastic Cash Flow in a Markov-switching Jump–Diffusion Market," Journal of Optimization Theory and Applications, Springer, vol. 158(3), pages 918-934, September.
  251. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Bank of Finland Research Discussion Papers 5/2008, Bank of Finland.
  252. 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.
  253. 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).
  254. Helu Xiao & Tiantian Ren & Yanfei Bai & Zhongbao Zhou, 2019. "Time-Consistent Investment-Reinsurance Strategies for the Insurer and the Reinsurer under the Generalized Mean-Variance Criteria," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
  255. Cong, F. & Oosterlee, C.W., 2016. "On pre-commitment aspects of a time-consistent strategy for a mean-variance investor," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 178-193.
  256. Stefania Corsaro & Valentina De Simone & Zelda Marino, 2021. "Fused Lasso approach in portfolio selection," Annals of Operations Research, Springer, vol. 299(1), pages 47-59, April.
  257. Zhichao Lu & Peiyuan Pang & Yuhong Xu & Wenxin Zhang, 2024. "Portfolio Selection with Contrarian Strategy," Methodology and Computing in Applied Probability, Springer, vol. 26(2), pages 1-28, June.
  258. Charles I. Nkeki, 2018. "Optimal investment risks management strategies of an economy in a financial crisis," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-24, March.
  259. Shen, Yang & Zou, Bin, 2021. "Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 68-80.
  260. Qixiu Cheng & Jun Chen & Honggang Zhang & Zhiyuan Liu, 2021. "Optimal Congestion Pricing with Day-to-Day Evolutionary Flow Dynamics: A Mean–Variance Optimization Approach," Sustainability, MDPI, vol. 13(9), pages 1-15, April.
  261. Xiangyu Cui & Xun Li & Duan Li, 2013. "Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection," Papers 1303.1064, arXiv.org.
  262. Liu, Jia & Chen, Zhiping, 2018. "Time consistent multi-period robust risk measures and portfolio selection models with regime-switching," European Journal of Operational Research, Elsevier, vol. 268(1), pages 373-385.
  263. Yuanyao Ding, 2006. "Portfolio Selection under Maximum Minimum Criterion," Quality & Quantity: International Journal of Methodology, Springer, vol. 40(3), pages 457-468, June.
  264. Zhang Peng & Gong Heshan & Lan Weiting, 2017. "Multi-Period Mean-Absolute Deviation Fuzzy Portfolio Selection Model with Entropy Constraints," Journal of Systems Science and Information, De Gruyter, vol. 4(5), pages 428-443, October.
  265. Liurui Deng & Traian A. Pirvu, 2019. "Multi-Period Investment Strategies under Cumulative Prospect Theory," JRFM, MDPI, vol. 12(2), pages 1-15, May.
  266. Chiu, Mei Choi & Wong, Hoi Ying, 2012. "Mean–variance asset–liability management: Cointegrated assets and insurance liability," European Journal of Operational Research, Elsevier, vol. 223(3), pages 785-793.
  267. Oswaldo Luiz do Valle Costa & Rodrigo de Barros Nabholz, 2005. "A Multi-Period Mean-Variance Portfolio Selection Problem," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(1), pages 101-121.
  268. J J Glen, 2011. "Mean-variance portfolio rebalancing with transaction costs and funding changes," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(4), pages 667-676, April.
  269. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
  270. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
  271. Jianjun Gao & Duan Li, 2013. "Optimal Cardinality Constrained Portfolio Selection," Operations Research, INFORMS, vol. 61(3), pages 745-761, June.
  272. Dong-Mei Zhu & Jia-Wen Gu & Feng-Hui Yu & Tak-Kuen Siu & Wai-Ki Ching, 2021. "Optimal pairs trading with dynamic mean-variance objective," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(1), pages 145-168, August.
  273. Huhtala, Heli, 2008. "Along but beyond mean-variance : Utility maximization in a semimartingale model," Research Discussion Papers 5/2008, Bank of Finland.
  274. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
  275. Yao, Haixiang & Li, Danping & Wu, Huiling, 2022. "Dynamic trading with uncertain exit time and transaction costs in a general Markov market," International Review of Financial Analysis, Elsevier, vol. 84(C).
  276. Chanjuan Li & Zhongfei Li & Ke Fu & Haiqing Song, 2013. "Time-consistent Optimal Portfolio Strategy for Asset-liability Management under Mean-variance Criterion," Accounting and Finance Research, Sciedu Press, vol. 2(2), pages 1-89, May.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.