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A Minimum Variance Result in Continuous Trading Portfolio Optimization

Citations

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Cited by:

  1. Xiang Meng, 2019. "Dynamic Mean-Variance Portfolio Optimisation," Papers 1907.03093, arXiv.org.
  2. Fenghui Yu & Wai-Ki Ching & Chufang Wu & Jia-Wen Gu, 2023. "Optimal Pairs Trading Strategies: A Stochastic Mean–Variance Approach," Journal of Optimization Theory and Applications, Springer, vol. 196(1), pages 36-55, January.
  3. Shuzhen Yang, 2019. "Multi-time state mean-variance model in continuous time," Papers 1912.01793, arXiv.org.
  4. Chun Hung Chiu & Xun Yu Zhou, 2009. "The premium of dynamic trading," Papers 0906.0999, arXiv.org.
  5. Lucy Gongtao Chen & Daniel Zhuoyu Long & Melvyn Sim, 2015. "On Dynamic Decision Making to Meet Consumption Targets," Operations Research, INFORMS, vol. 63(5), pages 1117-1130, October.
  6. Hung-Hsi Huang & David Jou, 2009. "Multiperiod dynamic investment for a generalized situation," Applied Financial Economics, Taylor & Francis Journals, vol. 19(21), pages 1761-1766.
  7. 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.
  8. Jan Kallsen & Johannes Muhle-Karbe, 2013. "The General Structure of Optimal Investment and Consumption with Small Transaction Costs," Papers 1303.3148, arXiv.org, revised May 2015.
  9. Christoph Czichowsky, 2012. "Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time," Papers 1205.4748, arXiv.org.
  10. 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.
  11. 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.
  12. Alev{s} v{C}ern'y & Christoph Czichowsky, 2022. "The law of one price in quadratic hedging and mean-variance portfolio selection," Papers 2210.15613, arXiv.org, revised Sep 2024.
  13. Min Dai & Zuo Quan Xu & Xun Yu Zhou, 2009. "Continuous-Time Markowitz's Model with Transaction Costs," Papers 0906.0678, arXiv.org.
  14. Dimitris Bertsimas & Melvyn Sim & Meilin Zhang, 2019. "Adaptive Distributionally Robust Optimization," Management Science, INFORMS, vol. 65(2), pages 604-618, February.
  15. 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.
  16. Buonaguidi, B., 2018. "Dynamic optimality in optimal variance stopping problems," Statistics & Probability Letters, Elsevier, vol. 141(C), pages 103-108.
  17. 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.
  18. Albert Shiryaev & Zuoquan Xu & Xun Yu Zhou, 2008. "Thou shalt buy and hold," Quantitative Finance, Taylor & Francis Journals, vol. 8(8), pages 765-776.
  19. Elena Vigna, 2016. "On time consistency for mean-variance portfolio selection," Carlo Alberto Notebooks 476, Collegio Carlo Alberto.
  20. Shuzhen Yang, 2020. "Discrete time multi-period mean-variance model: Bellman type strategy and Empirical analysis," Papers 2011.10966, arXiv.org.
  21. Nguyen, Pascal & Portait, Roland, 2002. "Dynamic asset allocation with mean variance preferences and a solvency constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 11-32, January.
  22. Kohlmann, Michael & Tang, Shanjian, 2000. "Recent Advances in Backward Stochastics Riccati Equations and Their Applications," CoFE Discussion Papers 00/30, University of Konstanz, Center of Finance and Econometrics (CoFE).
  23. 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.
  24. Chun Hung Chiu & Xun Yu Zhou, 2011. "The premium of dynamic trading," Quantitative Finance, Taylor & Francis Journals, vol. 11(1), pages 115-123.
  25. 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.
  26. 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).
  27. He, Lin & Liang, Zongxia, 2013. "Optimal investment strategy for the DC plan with the return of premiums clauses in a mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 643-649.
  28. Mikhail Zhitlukhin, 2018. "Monotone Sharpe ratios and related measures of investment performance," Papers 1809.10193, arXiv.org, revised May 2021.
  29. Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
  30. repec:dgr:rugccs:200406 is not listed on IDEAS
  31. Kohlmann, Michael & Tang, Shanjian, 2000. "Multi-Dimensional Backward Stochastic Riccati Equations, and Applications," CoFE Discussion Papers 00/29, University of Konstanz, Center of Finance and Econometrics (CoFE).
  32. Hui, Eddie C.M. & Chan, Ka Kwan Kevin, 2019. "Alternative trading strategies to beat “buy-and-hold”," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 534(C).
  33. Chonghu Guan & Xiaomin Shi & Zuo Quan Xu, 2023. "Continuous-Time Markowitz’s Mean-Variance Model Under Different Borrowing and Saving Rates," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 167-208, October.
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