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Mean-Variance Control

Author

Listed:
  • Tomas Björk

    (Stockholm School of Economics)

  • Mariana Khapko

    (University of Toronto)

  • Agatha Murgoci

    (Ørsted)

Abstract

In this chapter we will consider dynamic mean-variance optimization. This is a continuous-time version of a standard Markowitz investment problem, where we penalize the risk undertaken by the conditional variance. In Sect. 18.1 we first consider the simplest possible case of a Wiener driven single risky asset and re-derive the corresponding results of Basak and Chabakauri (Rev. Financ. Stud. 23:2970–3016, 2010). We then extend the model in Sect. 18.2 and study the case when the risky asset is driven by a point process as well as by a Wiener process. In Sect. 18.3, we study mean-variance portfolio choice with wealth-dependent preferences.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-030-81843-2_18
DOI: 10.1007/978-3-030-81843-2_18
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