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Continuous time mean variance asset allocation : a time-consistent strategy
Wang, Jin; Forsyth, Peter A. - In: European journal of operational research : EJOR 209 (2011) 2, pp. 184-201
Persistent link: https://www.econbiz.de/10008798657
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Time consistency and risk averse dynamic decision models : definition, interpretation and practical consequences
Rudloff, Birgit; Street, Alexandre; Valladão, Davi M. - In: European journal of operational research : EJOR 234 (2014) 3, pp. 743-750
Persistent link: https://www.econbiz.de/10010360424
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Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg; Pichler, Alois - In: European journal of operational research : EJOR 249 (2016) 1, pp. 155-163
Persistent link: https://www.econbiz.de/10011434903
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Building up time-consistency for risk measures and dynamic optimizatio
De Lara, Michel; Leclère, Vincent - In: European journal of operational research : EJOR 249 (2016) 1, pp. 177-187
Persistent link: https://www.econbiz.de/10011435779
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Time-consistency of optimal investment under smooth ambiguity
Balter, Anne G.; Mahayni, Antje; Schweizer, Nikolaus - In: European journal of operational research : EJOR 293 (2021) 2, pp. 643-657
Persistent link: https://www.econbiz.de/10012513245
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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter A. - In: European journal of operational research : EJOR 289 (2021) 2, pp. 774-792
Persistent link: https://www.econbiz.de/10012416872
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Time-consistent portfolio optimization
Peng, Ling; Kloeden, Peter E. - In: European journal of operational research : EJOR 288 (2021) 1, pp. 183-193
Persistent link: https://www.econbiz.de/10012496547
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Hedge fund's dynamic leverage decisions under time-inconsistent preferences
Li, Jiangyuan; Liu, Bo; Yang, Jinqiang; Zou, Zhentao - In: European journal of operational research : EJOR 284 (2020) 2, pp. 779-791
Persistent link: https://www.econbiz.de/10012238809
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Time-consistent and self-coordination strategies for multi-period mean-Conditional Value-at-Risk portfolio selection
Cui, Xiangyu; Gao, Jianjun; Shi, Yun; Zhu, Shushang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 781-789
Persistent link: https://www.econbiz.de/10012003667
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Accounting for risk factors on health outcomes : the case of Luxembourg
Mussard, Stéphane; Pi Alperin, Maria Noel - In: European journal of operational research : EJOR 291 (2021) 3, pp. 1180-1197
Persistent link: https://www.econbiz.de/10012495402