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Dynamic Mean-Variance Asset Allocation

Citations

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Cited by:

  1. is not listed on IDEAS
  2. 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.
  3. Fießinger, Felix & Stadje, Mitja, 2025. "Time-consistent asset allocation for risk measures in a Lévy market," European Journal of Operational Research, Elsevier, vol. 321(2), pages 676-695.
  4. Xiang Meng, 2019. "Dynamic Mean-Variance Portfolio Optimisation," Papers 1907.03093, arXiv.org.
  5. Jingyi Cao & Dongchen Li & Virginia R. Young & Bin Zou, 2025. "Equilibrium Mean-Variance Dividend Rate Strategies," Papers 2508.12047, arXiv.org.
  6. 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.
  7. 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.
  8. Jianjun Gao & Ke Zhou & Duan Li & Xiren Cao, 2014. "Dynamic Mean-LPM and Mean-CVaR Portfolio Optimization in Continuous-time," Papers 1402.3464, arXiv.org.
  9. Li, Zhongfei & Zeng, Yan & Lai, Yongzeng, 2012. "Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 191-203.
  10. Shuzhen Yang, 2019. "Multi-time state mean-variance model in continuous time," Papers 1912.01793, arXiv.org.
  11. Luca De Gennaro Aquino & Sascha Desmettre & Yevhen Havrylenko & Mogens Steffensen, 2024. "Equilibrium control theory for Kihlstrom-Mirman preferences in continuous time," Papers 2407.16525, arXiv.org, revised Oct 2024.
  12. repec:osf:socarx:8m5w2_v1 is not listed on IDEAS
  13. Zhu, Yichen & Escobar-Anel, Marcos, 2022. "Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models," Applied Mathematics and Computation, Elsevier, vol. 418(C).
  14. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
  15. Michele Berardi, 2021. "Learning from prices: information aggregation and accumulation in an asset market," Annals of Finance, Springer, vol. 17(1), pages 45-77, March.
  16. Alexis Direr, 2023. "Portfolio Choice With Time Horizon Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 26(06n07), pages 1-19, November.
  17. Qian Lei & Chi Seng Pun, 2021. "Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games," Papers 2112.14409, arXiv.org, revised Sep 2023.
  18. 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.
  19. Peng, Ling & Kloeden, Peter E., 2021. "Time-consistent portfolio optimization," European Journal of Operational Research, Elsevier, vol. 288(1), pages 183-193.
  20. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
  21. El Hedi Arouri, Mohamed & Rault, Christophe & Sova, Anamaria & Sova, Robert & Teulon, Frédéric, 2013. "Market structure and the cost of capital," Economic Modelling, Elsevier, vol. 31(C), pages 664-671.
  22. Michele Berardi, 2020. "Learning from Prices: Information Aggregation and Accumulation in an Asset Price Model," Economics Discussion Paper Series 2009, Economics, The University of Manchester.
  23. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2011. "Time-Inconsistent Stochastic Linear--Quadratic Control," Papers 1111.0818, arXiv.org.
  24. Ben Hambly & Renyuan Xu & Huining Yang, 2021. "Recent Advances in Reinforcement Learning in Finance," Papers 2112.04553, arXiv.org, revised Feb 2023.
  25. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
  26. 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.
  27. Hong, Yi & Jin, Xing, 2018. "Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix," European Journal of Operational Research, Elsevier, vol. 265(1), pages 389-398.
  28. 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.
  29. Yun Shi & Nicholas G. Hall & Xiangyu Cui, 2023. "Work More Tomorrow: Resolving Present Bias in Project Management," Operations Research, INFORMS, vol. 71(1), pages 314-340, January.
  30. 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.
  31. Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2018. "Time-consistent mean–variance portfolio optimization: A numerical impulse control approach," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 9-28.
  32. Zeng, Yan & Li, Zhongfei, 2011. "Optimal time-consistent investment and reinsurance policies for mean-variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 145-154, July.
  33. 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 Feb 2026.
  34. 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.
  35. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Investment with Mispricing in the Family of 4/2 Stochastic Volatility Models," Mathematics, MDPI, vol. 9(18), pages 1-25, September.
  36. Hongyan Cai & Danhong Chen & Yunfei Peng & Wei Wei, 2021. "On the Time-Inconsistent Deterministic Linear-Quadratic Control," Papers 2105.03670, arXiv.org, revised Oct 2021.
  37. Chen, Lv & Shen, Yang, 2019. "Stochastic Stackelberg differential reinsurance games under time-inconsistent mean–variance framework," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 120-137.
  38. David Landriault & Bin Li & Hong Li & Yuanyuan Zhang, 2024. "Contract Structure and Risk Aversion in Longevity Risk Transfers," Papers 2409.08914, arXiv.org.
  39. Duy-Minh Dang & P. A. Forsyth & K. R. Vetzal, 2017. "The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management," Quantitative Finance, Taylor & Francis Journals, vol. 17(3), pages 335-351, March.
  40. Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2012. "Self-Fulfilling Risk Panics," American Economic Review, American Economic Association, vol. 102(7), pages 3674-3700, December.
  41. Francesco Menoncin & Elena Vigna, 2019. "Mean-variance dynamic optimality for DC pension schemes," Carlo Alberto Notebooks 587, Collegio Carlo Alberto.
  42. Ting-Fu Chen & Xian-Ji Kuang & Szu-Lang Liao & Shih-Kuei Lin, 2024. "Portfolio Allocation with Dynamic Risk Preferences via Reinforcement Learning," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2033-2052, October.
  43. repec:ipg:wpaper:2014-351 is not listed on IDEAS
  44. Kraft, Holger & Steffensen, Mogens, 2012. "A dynamic programming approach to constrained portfolios," CFS Working Paper Series 2012/07, Center for Financial Studies (CFS).
  45. Zongxia Liang & Sheng Wang & Jianming Xia & Fengyi Yuan, 2024. "Dynamic portfolio selection under generalized disappointment aversion," Papers 2401.08323, arXiv.org, revised Mar 2024.
  46. Simone Cerreia-Vioglio & Fulvio Ortu & Francesco Rotondi & Federico Severino, 2024. "On horizon-consistent mean-variance portfolio allocation," Annals of Operations Research, Springer, vol. 336(1), pages 797-828, May.
  47. Nappo, Giovanna & Marchetti, Fabio Massimo & Vagnani, Gianluca, 2023. "Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets," Finance Research Letters, Elsevier, vol. 53(C).
  48. Daniel Bauer & George Zanjani, 2016. "The Marginal Cost of Risk, Risk Measures, and Capital Allocation," Management Science, INFORMS, vol. 62(5), pages 1431-1457, May.
  49. Wei, J. & Wong, K.C. & Yam, S.C.P. & Yung, S.P., 2013. "Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 281-291.
  50. Jérôme Detemple, 2014. "Portfolio Selection: A Review," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 1-21, April.
  51. Li, Yuying & Forsyth, Peter A., 2019. "A data-driven neural network approach to optimal asset allocation for target based defined contribution pension plans," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 189-204.
  52. Christoph Czichowsky, 2012. "Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time," Papers 1205.4748, arXiv.org.
  53. Yu Li & Yuhan Wu & Shuhua Zhang, 2024. "The mean-variance portfolio selection based on the average and current profitability of the risky asset," Papers 2408.07969, arXiv.org.
  54. Haitao Li & Chongfeng Wu & Chunyang Zhou, 2022. "Time-Varying Risk Aversion and Dynamic Portfolio Allocation," Operations Research, INFORMS, vol. 70(1), pages 23-37, January.
  55. Hanqing Jin & Yimin Yang, 2014. "Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target," Papers 1402.6760, arXiv.org.
  56. Michele Berardi, 2018. "Information aggregation and learning in a dynamic asset pricing model," Centre for Growth and Business Cycle Research Discussion Paper Series 241, Economics, The University of Manchester.
  57. Cao, Jingyi & Landriault, David & Li, Bin, 2020. "Optimal reinsurance-investment strategy for a dynamic contagion claim model," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 206-215.
  58. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
  59. Yuchen Li & Zongxia Liang & Shunzhi Pang, 2022. "Continuous-Time Monotone Mean-Variance Portfolio Selection in Jump-Diffusion Model," Papers 2211.12168, arXiv.org, revised May 2024.
  60. 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.
  61. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
  62. 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.
  63. Dylan Possamai & Mateo Rodriguez Polo, 2026. "Here, there and everywhere: state-dependent time-inconsistent stochastic control," Papers 2603.22022, arXiv.org.
  64. Lei Shi, 2010. "Portfolio Analysis and Equilibrium Asset Pricing with Heterogeneous Beliefs," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 9, July-Dece.
  65. Yike Wang & Yusha Chen & Jingzhen Liu, 2025. "Time-consistent portfolio selection with monotone mean-variance preferences," Papers 2502.11052, arXiv.org, revised Apr 2026.
  66. Yanwei Jia & Xun Yu Zhou, 2021. "Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms," Papers 2111.11232, arXiv.org, revised Jul 2022.
  67. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
  68. Zeng, Yan & Li, Zhongfei & Lai, Yongzeng, 2013. "Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 498-507.
  69. Bauder, David & Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2020. "Bayesian inference of the multi-period optimal portfolio for an exponential utility," Journal of Multivariate Analysis, Elsevier, vol. 175(C).
  70. Oumar Mbodji & Traian A. Pirvu, 2025. "Portfolio time consistency and utility weighted discount rates," Mathematics and Financial Economics, Springer, volume 19, number 2, December.
  71. Bingyan Han & Hoi Ying Wong, 2019. "Time-inconsistency with rough volatility," Papers 1907.11378, arXiv.org, revised Dec 2021.
  72. Liyuan Wang & Zhiping Chen, 2019. "Stochastic Game Theoretic Formulation for a Multi-Period DC Pension Plan with State-Dependent Risk Aversion," Mathematics, MDPI, vol. 7(1), pages 1-16, January.
  73. 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.
  74. 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.
  75. Jia-Wen Gu & Mogens Steffensen, 2015. "Optimal Portfolio Liquidation and Dynamic Mean-variance Criterion," Papers 1510.09110, arXiv.org.
  76. Rossella Agliardi & Ramazan Gençay, 2017. "Optimal Trading Strategies With Limit Orders," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-16, February.
  77. 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.
  78. Zhang, Hanwen & Dang, Duy-Minh, 2024. "A monotone numerical integration method for mean–variance portfolio optimization under jump-diffusion models," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 219(C), pages 112-140.
  79. 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.
  80. Sheng-Feng Luo, 2020. "Dynamic Mean-Variance Portfolios With Risk Budget," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(01), pages 1-16, February.
  81. Yuan, Yu & Han, Xia & Liang, Zhibin & Yuen, Kam Chuen, 2023. "Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework," European Journal of Operational Research, Elsevier, vol. 311(2), pages 581-595.
  82. Francisco Peñaranda, 2009. "Understanding Portfolio Efficiency with Conditioning Information," FMG Discussion Papers dp626, Financial Markets Group.
  83. Danping Li & Dongchen Li & Virginia R. Young, 2017. "Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion," Papers 1703.01984, arXiv.org, revised Mar 2017.
  84. Hyungjin Ko & Jaewook Lee, 2025. "Portfolio Management Transformed: An Enhanced Black–Litterman Approach Integrating Asset Pricing Theory and Machine Learning," Computational Economics, Springer;Society for Computational Economics, vol. 66(5), pages 3841-3887, November.
  85. Steven D. Baker, 2021. "The Financialization of Storable Commodities," Management Science, INFORMS, vol. 67(1), pages 471-499, January.
  86. Alia, Ishak & Chighoub, Farid & Sohail, Ayesha, 2016. "A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 212-223.
  87. 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.
  88. Ishak Alia & Farid Chighoub & Nabil Khelfallah & Josep Vives, 2021. "Time-Consistent Investment and Consumption Strategies under a General Discount Function," JRFM, MDPI, vol. 14(2), pages 1-27, February.
  89. Yang Shen & Bin Zou, 2021. "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process," Papers 2101.03954, arXiv.org.
  90. Agostino Capponi & Sveinn Olafsson & Thaleia Zariphopoulou, 2019. "Personalized Robo-Advising: Enhancing Investment through Client Interaction," Papers 1911.01391, arXiv.org, revised Nov 2020.
  91. Stephen Matteo Miller, 2015. "Leverage effect breakdowns and flight from risky assets," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 865-871, May.
  92. Kraft, Holger & Steffensen, Mogens, 2013. "A dynamic programming approach to constrained portfolios," European Journal of Operational Research, Elsevier, vol. 229(2), pages 453-461.
  93. 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.
  94. Qian Lei & Chi Seng Pun, 2023. "On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type," Papers 2307.01986, arXiv.org, revised May 2026.
  95. Min Dai & Zuo Quan Xu & Xun Yu Zhou, 2009. "Continuous-Time Markowitz's Model with Transaction Costs," Papers 0906.0678, arXiv.org.
  96. PeiLin Hsieh & Robert Jarrow, 2019. "Volatility Uncertainty, Time Decay, and Option Bid-Ask Spreads in an Incomplete Market," Management Science, INFORMS, vol. 65(4), pages 1833-1854, April.
  97. Paul Glasserman & Xingbo Xu, 2013. "Robust Portfolio Control with Stochastic Factor Dynamics," Operations Research, INFORMS, vol. 61(4), pages 874-893, August.
  98. Mohamed El Hedi Arouri & Christophe Rault & Ana Maria Sova & Robert Sova & Frédéric Teulon, 2013. "Market Structure and the Cost of Capital," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00798048, HAL.
  99. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
  100. Helu Xiao & Tiantian Ren & Yanfei Bai & Zhongbao Zhou, 2019. "Time-Consistent Investment-Reinsurance Strategies for the Insurer and the Reinsurer under the Generalized Mean-Variance Criteria," Mathematics, MDPI, vol. 7(9), pages 1-25, September.
  101. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
  102. Ko, Hyungjin & Lee, Jaewook, 2024. "Can ChatGPT improve investment decisions? From a portfolio management perspective," Finance Research Letters, Elsevier, vol. 64(C).
  103. Chenxu Li & O. Scaillet & Yiwen Shen, 2020. "Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets," Swiss Finance Institute Research Paper Series 20-22, Swiss Finance Institute.
  104. Liang, Zongxia & Song, Min, 2015. "Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 66-76.
  105. Niu, Baozhuang & Chu, Lap-Keung & Ni, Jian & Wang, Junwei, 2018. "Buy now and price later: Supply contracts with time-consistent mean–variance financial hedgingAuthor-Name: Li, Qiang," European Journal of Operational Research, Elsevier, vol. 268(2), pages 582-595.
  106. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
  107. Chen, Kexin & Wong, Hoi Ying, 2019. "Time-consistent mean-variance hedging of an illiquid asset with a cointegrated liquid asset," Finance Research Letters, Elsevier, vol. 29(C), pages 184-192.
  108. Ludovic Goudenège & Andrea Molent & Antonino Zanette, 2025. "Backward hedging for American options with transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 541-569, June.
  109. Zongxia Liang & Jianming Xia & Fengyi Yuan, 2023. "Dynamic portfolio selection for nonlinear law-dependent preferences," Papers 2311.06745, arXiv.org, revised Nov 2023.
  110. Wu, Huiling & Chen, Hua, 2015. "Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching," Economic Modelling, Elsevier, vol. 46(C), pages 79-90.
  111. Wu, Huiling & Zeng, Yan, 2015. "Equilibrium investment strategy for defined-contribution pension schemes with generalized mean–variance criterion and mortality risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 396-408.
  112. Elena Vigna, 2017. "Tail optimality and preferences consistency for intertemporal optimization problems," Carlo Alberto Notebooks 502, Collegio Carlo Alberto, revised 2021.
  113. Qinglong Zhou & Gaofeng Zong, 2016. "Time-Inconsistent Stochastic Linear-quadratic Differential Game," Papers 1607.00638, arXiv.org.
  114. Ling Wang & Mei Choi Chiu & Hoi Ying Wong, 2021. "Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate," Papers 2112.06602, arXiv.org.
  115. Pun, Chi Seng, 2018. "Time-consistent mean-variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 75(C), pages 281-292.
  116. Frank Bosserhoff & Mitja Stadje, 2019. "Mean-variance hedging of unit linked life insurance contracts in a jump-diffusion model," Papers 1908.05534, arXiv.org.
  117. Ouzan, Samuel & Six, Pierre, 2025. "The demand for hedging of oil producers: A tale of risk and regret," European Journal of Operational Research, Elsevier, vol. 321(1), pages 330-343.
  118. Oumar Mbodji & Traian A. Pirvu, 2023. "Portfolio Time Consistency and Utility Weighted Discount Rates," Papers 2402.05113, arXiv.org.
  119. 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.
  120. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
  121. Yanfei Bai & Zhongbao Zhou & Rui Gao & Helu Xiao, 2020. "Nash Equilibrium Investment-Reinsurance Strategies for an Insurer and a Reinsurer with Intertemporal Restrictions and Common Interests," Mathematics, MDPI, vol. 8(1), pages 1-26, January.
  122. 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.
  123. Arnold, Lutz G. & Brunner, Stephan, 2015. "The economics of rational speculation in the presence of positive feedback trading," The Quarterly Review of Economics and Finance, Elsevier, vol. 57(C), pages 161-174.
  124. Yilie Huang & Yanwei Jia & Xun Yu Zhou, 2024. "Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study," Papers 2412.16175, arXiv.org, revised Mar 2026.
  125. Jakub Trybu{l}a & Dariusz Zawisza, 2014. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences-Stochastic Factor Case," Papers 1403.3212, arXiv.org, revised Jan 2020.
  126. Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
  127. Yong Zhang & Jiahao Li & Xingyu Yang & Jianliang Zhang, 2024. "Competitive Online Strategy Based on Improved Exponential Gradient Expert and Aggregating Method," Computational Economics, Springer;Society for Computational Economics, vol. 64(2), pages 789-814, August.
  128. 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.
  129. 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.
  130. Wong, Tat Wing & Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Time-consistent mean–variance hedging of longevity risk: Effect of cointegration," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 56-67.
  131. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
  132. Yang Shen & Bin Zou, 2022. "Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models," Papers 2205.15905, arXiv.org.
  133. Luca De Gennaro Aquino & Sascha Desmettre & Yevhen Havrylenko & Mogens Steffensen, 2025. "Equilibrium investment under dynamic preference uncertainty," Papers 2512.21149, arXiv.org.
  134. Jakub Trybuła & Dariusz Zawisza, 2019. "Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case," Mathematics of Operations Research, INFORMS, vol. 44(3), pages 966-987, August.
  135. Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, vol. 1(3), pages 1-18, November.
  136. 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.
  137. Li, Yongwu & Li, Zhongfei, 2013. "Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 86-97.
  138. Yang Shen & Bin Zou, 2021. "Mean-Variance Portfolio Selection in Contagious Markets," Papers 2110.09417, arXiv.org.
  139. Yun Shi & Xun Li & Xiangyu Cui, 2017. "Better than pre-committed optimal mean-variance policy in a jump diffusion market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 327-347, June.
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