IDEAS home Printed from https://ideas.repec.org/r/spr/finsto/v17y2013i2p227-271.html
   My bibliography  Save this item

Time-consistent mean-variance portfolio selection in discrete and continuous time

Citations

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


Cited by:

  1. 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.
  2. Alain Bensoussan & Guiyuan Ma & Chi Chung Siu & Sheung Chi Phillip Yam, 2022. "Dynamic mean–variance problem with frictions," Finance and Stochastics, Springer, vol. 26(2), pages 267-300, April.
  3. 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.
  4. 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 Jun 2023.
  5. Chen, Zhiping & Yang, Peng, 2020. "Robust optimal reinsurance–investment strategy with price jumps and correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 27-46.
  6. Sigrid Källblad, 2017. "Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals," Finance and Stochastics, Springer, vol. 21(2), pages 397-425, April.
  7. 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.
  8. Fahrenwaldt, Matthias Albrecht & Jensen, Ninna Reitzel & Steffensen, Mogens, 2020. "Nonrecursive separation of risk and time preferences," Journal of Mathematical Economics, Elsevier, vol. 90(C), pages 95-108.
  9. Michael Preisel, 2023. "Long-Term Mean-Variance Optimization Under Mean-Reverting Equity Returns," Papers 2309.07488, arXiv.org, revised Mar 2024.
  10. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
  11. Tomas Björk & Mariana Khapko & Agatha Murgoci, 2017. "On time-inconsistent stochastic control in continuous time," Finance and Stochastics, Springer, vol. 21(2), pages 331-360, April.
  12. Li, Bin & Li, Danping & Xiong, Dewen, 2016. "Alpha-robust mean-variance reinsurance-investment strategy," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 101-123.
  13. Camilo Hern'andez & Dylan Possamai, 2020. "Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents," Papers 2002.12572, arXiv.org, revised Jul 2021.
  14. Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
  15. Alain Bensoussan & Kwok Chuen Wong & Sheung Chi Phillip Yam, 2019. "A paradox in time-consistency in the mean–variance problem?," Finance and Stochastics, Springer, vol. 23(1), pages 173-207, January.
  16. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
  17. 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.
  18. 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.
  19. Tomas Björk & Agatha Murgoci, 2014. "A theory of Markovian time-inconsistent stochastic control in discrete time," Finance and Stochastics, Springer, vol. 18(3), pages 545-592, July.
  20. Xue Dong He & Xun Yu Zhou, 2021. "Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation," Papers 2105.01829, arXiv.org.
  21. Marcel Nutz & Yuchong Zhang, 2019. "Conditional Optimal Stopping: A Time-Inconsistent Optimization," Papers 1901.05802, arXiv.org, revised Oct 2019.
  22. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
  23. Zhao, Qian & Shen, Yang & Wei, Jiaqin, 2014. "Consumption–investment strategies with non-exponential discounting and logarithmic utility," European Journal of Operational Research, Elsevier, vol. 238(3), pages 824-835.
  24. Bosserhoff, Frank & Stadje, Mitja, 2021. "Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 130-146.
  25. Elena Vigna, 2016. "On time consistency for mean-variance portfolio selection," Carlo Alberto Notebooks 476, Collegio Carlo Alberto.
  26. 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.
  27. Esben Kryger & Maj-Britt Nordfang & Mogens Steffensen, 2020. "Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 91(3), pages 405-438, June.
  28. 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.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.