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Mean-variance portfolio selection under partial information with drift uncertainty

Xiong, Jie; Xu, Zuo Quan; Zheng, Jiayu - In: Quantitative finance 21 (2021) 9, pp. 1461-1473

Persistent link: https://www.econbiz.de/10012624147

Dynamic mean-variance optimisation problems with deterministic information

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - 2017 - This version: September 29, 2017

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...

Persistent link: https://www.econbiz.de/10011865489

Dynamic mean-variance optimization problems with deterministic information

Schweizer, Martin; Zivoi, Danijel; Ṥikić, Mario - In: International journal of theoretical and applied finance 21 (2018) 2, pp. 1-38

Persistent link: https://www.econbiz.de/10011854586

Dynamic credit investment in partially observed markets

Capponi, Agostino; Figueroa-López, José E.; Pascucci, … - In: Finance and stochastics 19 (2015) 4, pp. 891-939

Persistent link: https://www.econbiz.de/10011421091

A generalized earnings-based stock valuation model with learning

Jacoby, Gady; Paseka, Alexander; Wang, Yan - In: The financial review : the official publication of the … 52 (2017) 2, pp. 199-232

Persistent link: https://www.econbiz.de/10011690697

Classical mean-variance model revisited : pseudo efficiency

Cui, Xiangyu; Li, Duan; Yan, Jia-an - In: Journal of the Operational Research Society : OR 66 (2015) 10, pp. 1646-1655

Persistent link: https://www.econbiz.de/10011417708

Mean-variance portfolio selection under a constant elasticity of variance model

Shen, Yang; Zhang, Xin; Siu, Tak Kuen - In: Operations research letters 42 (2014) 5, pp. 337-342

Persistent link: https://www.econbiz.de/10010404397

An adaptively managed dynamic portfolio selection model using a time-varying investment target according to the market forecast

Jung, Jongbin; Kim, Seongmoon - In: Journal of the Operational Research Society : OR 66 (2015) 7, pp. 1115-1131

Persistent link: https://www.econbiz.de/10011403704

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

Optimal mean-variance portfolio selection with no-short-selling constraint

Xu, Jingsi - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-25

Persistent link: https://www.econbiz.de/10012496930

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