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Optimal policy for a time consistent mean-variance model with regime switching

Li, Gang; Chen, Zhiping; Liu, Jia - In: IMA journal of management mathematics 27 (2016) 2, pp. 211-234

Persistent link: https://www.econbiz.de/10011567026

Mean-variance portfolio optimization with state-dependent risk aversion

Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 1-24

Persistent link: https://www.econbiz.de/10010256230

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

The cost of delay as risk measure in target-based multi-period portfolio selection models

Liu, Jia; Chen, Zhiping; Consigli, Giorgio - In: IMA journal of management mathematics 35 (2024) 3, pp. 345-377

Persistent link: https://www.econbiz.de/10014634191

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

Simple Solutions to an Extended Class of Time-Inconsistent Portfolio Problems

Kryger, Esben Masotti - 2017

In this paper, we present a novel representation of a verification result for the equilibrium control law of a general class of portfolio problems where the standard dynamic programming principle does not hold. The novel representation provides simple and easy application of the theorem and we...

Persistent link: https://www.econbiz.de/10012959562

Time consistency of the mean-risk problem

Kováčová, Gabriela; Rudloff, Birgit - In: Operations research 69 (2021) 4, pp. 1100-1117

Persistent link: https://www.econbiz.de/10012625134

On time consistency for mean-variance portfolio selection

Vigna, Elena - In: International journal of theoretical and applied finance 23 (2020) 6, pp. 1-22

Persistent link: https://www.econbiz.de/10012496778

Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns

Valladão, Davi; Silva, Thuener; Poggi, Marcus - In: Application of operations research to financial markets, (pp. 379-405). 2019

Persistent link: https://www.econbiz.de/10012160031

On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization

Cong, F.; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 7, pp. 1-26

Persistent link: https://www.econbiz.de/10011763920

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