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Optimal multi-period mean–variance policy under no-shorting constraint

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Cited by:

  1. 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.
  2. 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.
  3. Bi, Junna & Jin, Hanqing & Meng, Qingbin, 2018. "Behavioral mean-variance portfolio selection," European Journal of Operational Research, Elsevier, vol. 271(2), pages 644-663.
  4. Xin Huang & Duan Li & Daniel Zhuoyu Long, 2020. "Scenario-decomposition Solution Framework for Nonseparable Stochastic Control Problems," Papers 2010.08985, arXiv.org.
  5. Xun Li & Zuo Quan Xu, 2015. "Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio," Papers 1507.06850, arXiv.org.
  6. Peter A. Forsyth & George Labahn, 2017. "$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance," Papers 1710.08450, arXiv.org, revised Apr 2018.
  7. 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.
  8. 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.
  9. 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.
  10. Weipin Wu & Jianjun Gao & Duan Li & Yun Shi, 2017. "Explicit Solution for Constrained Stochastic Linear-Quadratic Control with Multiplicative Noise," Papers 1709.05529, arXiv.org.
  11. Weiping Wu & Jianjun Gao & Junguo Lu & Xun Li, 2018. "Optimal Control of Constrained Stochastic Linear-Quadratic Model with Applications," Papers 1806.03624, arXiv.org.
  12. Rongju Zhang & Nicolas Langren'e & Yu Tian & Zili Zhu & Fima Klebaner & Kais Hamza, 2016. "Dynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach," Papers 1610.07694, arXiv.org, revised Jun 2019.
  13. 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.
  14. 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).
  15. 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.
  16. 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.
  17. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Mean-variance dynamic portfolio allocation with transaction costs: a Wiener chaos expansion approach," Working Papers hal-04086378, HAL.
  18. 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.
  19. 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.
  20. 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.
  21. 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.
  22. 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.
  23. Xiangyu Cui & Xun Li & Yun Shi & Si Zhao, 2023. "Discrete-Time Mean-Variance Strategy Based on Reinforcement Learning," Papers 2312.15385, arXiv.org.
  24. Peter Nystrup & Stephen Boyd & Erik Lindström & Henrik Madsen, 2019. "Multi-period portfolio selection with drawdown control," Annals of Operations Research, Springer, vol. 282(1), pages 245-271, November.
  25. 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.
  26. Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
  27. 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.
  28. 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.
  29. 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.
  30. Ming Xu & Yan Jiao & Xiaoming Li & Qingfeng Cao & Xiaoyang Wang, 2015. "A Multi-Period Optimization Model for Service Providers Using Online Reservation Systems: An Application to Hotels," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-18, July.
  31. 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.
  32. Peter Kratz, 2014. "An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection," Mathematics of Operations Research, INFORMS, vol. 39(4), pages 1198-1220, November.
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