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Continuous‐Time Mean‐Variance Portfolio Selection With Bankruptcy Prohibition
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- Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022.
"Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk,"
North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
- Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2021. "Distributionally robust goal-reaching optimization in the presence of background risk," Papers 2108.04464, arXiv.org, revised Dec 2021.
- 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.
- Ali Lazrak & Jaksa Cvitanic & Tan Wang, 2008. "Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings," Post-Print hal-00485697, HAL.
- 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.
- 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.
- 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.
- 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.
- Shuhui Liu, 2024. "The Maximal and Minimal Distributions of Wealth Processes in Black–Scholes Markets," Mathematics, MDPI, vol. 12(10), pages 1-18, May.
- Shuzhen Yang, 2019. "Multi-time state mean-variance model in continuous time," Papers 1912.01793, arXiv.org.
- Zuo Quan Xu & Fahuai Yi, 2019. "Optimal redeeming strategy of stock loans under drift uncertainty," Papers 1901.06680, arXiv.org.
- 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.
- 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).
- Amen Aissi Harzallah & Mouna Boujelbene Abbes, 2020. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory," Journal of Interdisciplinary Economics, , vol. 32(2), pages 218-236, July.
- 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.
- Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
- Nakano Yumiharu, 2006. "Mean-risk optimization for index tracking," Statistics & Risk Modeling, De Gruyter, vol. 24(1/2006), pages 1-19, July.
- Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
- 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.
- 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.
- Bi, Junna & Liang, Zhibin & Xu, Fangjun, 2016. "Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 245-258.
- Harry Zheng, 2009. "Efficient frontier of utility and CVaR," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(1), pages 129-148, August.
- 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.
- 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.
- Lv Chen & David Landriault & Bin Li & Danping Li, 2021. "Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 649-682, April.
- 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.
- Bi, Junna & Jin, Hanqing & Meng, Qingbin, 2018. "Behavioral mean-variance portfolio selection," European Journal of Operational Research, Elsevier, vol. 271(2), pages 644-663.
- 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.
- 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.
- 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.
- 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.
- Shuzhen Yang, 2019. "A varying terminal time mean-variance model," Papers 1909.13102, arXiv.org, revised Jan 2020.
- 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.
- Dian Zhu & Andrew J. Heunis, 2017. "Quadratic minimization with portfolio and intertemporal wealth constraints," Annals of Finance, Springer, vol. 13(3), pages 299-340, August.
- Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
- 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.
- Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
- 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.
- Vasilios N. Katsikis & Spyridon D. Mourtas & Predrag S. Stanimirović & Shuai Li & Xinwei Cao, 2021. "Time-Varying Mean-Variance Portfolio Selection under Transaction Costs and Cardinality Constraint Problem via Beetle Antennae Search Algorithm (BAS)," SN Operations Research Forum, Springer, vol. 2(2), pages 1-26, June.
- Xin Huang & Duan Li & Daniel Zhuoyu Long, 2020. "Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems," Papers 2010.08985, arXiv.org.
- Shuzhen Yang, 2020. "Bellman type strategy for the continuous time mean-variance model," Papers 2005.01904, arXiv.org, revised Jul 2020.
- Soren Christensen & Kristoffer Lindensjo, 2019. "Time-inconsistent stopping, myopic adjustment & equilibrium stability: with a mean-variance application," Papers 1909.11921, arXiv.org, revised Jan 2020.
- 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.
- 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.
- 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.
- Hanqing Jin & Zuo Quan Xu & Xun Yu Zhou, 2008. "A Convex Stochastic Optimization Problem Arising From Portfolio Selection," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 171-183, January.
- 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.
- Hanqing Jin & Xun Yu Zhou, 2008. "Behavioral Portfolio Selection In Continuous Time," Mathematical Finance, Wiley Blackwell, vol. 18(3), pages 385-426, July.
- Xun Li & Zuo Quan Xu, 2015. "Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio," Papers 1507.06850, arXiv.org.
- 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.
- Chenghu Ma, 2013. "MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Francesco Menoncin & Elena Vigna, 2013. "Mean-variance target-based optimisation in DC plan with stochastic interest rate," Carlo Alberto Notebooks 337, Collegio Carlo Alberto.
- 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.
- Junna Bi & Qingbin Meng & Yongji Zhang, 2014. "Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer," Annals of Operations Research, Springer, vol. 212(1), pages 43-59, January.
- 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.
- 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.
- Spyridon D. Mourtas & Chrysostomos Kasimis, 2022. "Exploiting Mean-Variance Portfolio Optimization Problems through Zeroing Neural Networks," Mathematics, MDPI, vol. 10(17), pages 1-20, August.
- Vitalii Makogin & Alexander Melnikov & Yuliya Mishura, 2017. "On Mean–Variance Hedging Under Partial Observations And Terminal Wealth Constraints," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-21, August.
- 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.
- Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
- 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.
- 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.
- Oliver Janke & Qinghua Li, 2015. "Portfolio Optimization under Shortfall Risk Constraint," Papers 1501.07480, arXiv.org, revised Apr 2016.
- Lin Chen & Xun Yu Zhou, 2022. "Naive Markowitz Policies," Papers 2212.07516, arXiv.org.
- 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.
- Chonghu Guan & Xiaomin Shi & Zuo Quan Xu, 2022. "Continuous-time Markowitz's mean-variance model under different borrowing and saving rates," Papers 2201.00914, arXiv.org, revised May 2023.
- 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.
- 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.
- 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.
- 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).
- 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.
- Shuzhen Yang, 2020. "Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis," Papers 2011.10966, arXiv.org.
- Jose Blanchet & Lin Chen & Xun Yu Zhou, 2022. "Distributionally Robust Mean-Variance Portfolio Selection with Wasserstein Distances," Management Science, INFORMS, vol. 68(9), pages 6382-6410, September.
- 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.