相关参考文献
注意：仅列出部分参考文献，下载原文获取全部文献信息。The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
Duy-Minh Dang et al.
QUANTITATIVE FINANCE (2017)
Time consistent behavioral portfolio policy for dynamic mean-variance formulation
Xiangyu Cui et al.
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2017)
Better than pre-committed optimal mean-variance policy in a jump diffusion market
Yun Shi et al.
MATHEMATICAL METHODS OF OPERATIONS RESEARCH (2017)
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
Xiangyu Cui et al.
OPTIMIZATION LETTERS (2016)
Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton-Jacobi-Bellman equation approach
D. M. Dang et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2016)
Classical mean-variance model revisited: pseudo efficiency
Xiangyu Cui et al.
JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY (2015)
MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
Tomas Bjoerk et al.
MATHEMATICAL FINANCE (2014)
Time-consistent investment policies in Markovian markets: A case of mean-variance analysis
Zhiping Chen et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2014)
Continuous-time mean-variance portfolio selection with only risky assets
Haixiang Yao et al.
ECONOMIC MODELLING (2014)
Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences
Abraham Lioui
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2013)
BETTER THAN DYNAMIC MEAN-VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
Xiangyu Cui et al.
MATHEMATICAL FINANCE (2012)
TIME-INCONSISTENT STOCHASTIC LINEAR-QUADRATIC CONTROL
Ying Hu et al.
SIAM JOURNAL ON CONTROL AND OPTIMIZATION (2012)
Continuous time mean variance asset allocation: A time-consistent strategy
J. Wang et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2011)
Dynamic Mean-Variance Asset Allocation
Suleyman Basak et al.
REVIEW OF FINANCIAL STUDIES (2010)
HEDGING BY SEQUENTIAL REGRESSIONS REVISITED
Aleš Černý et al.
MATHEMATICAL FINANCE (2009)
On the structure of general mean-variance hedging strategies
Ales Cerny et al.
ANNALS OF PROBABILITY (2007)
Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach
U. Celikyurt et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2007)
Coherent multiperiod risk adjusted values and Bellman's principle
Philippe Artzner et al.
ANNALS OF OPERATIONS RESEARCH (2007)
Risk measures via g-expectations
Emanuela Rosazza Gianin
INSURANCE MATHEMATICS & ECONOMICS (2006)
Time consistent dynamic risk measures
K Boda et al.
MATHEMATICAL METHODS OF OPERATIONS RESEARCH (2006)
Continuous-time mean-variance portfolio selection: A stochastic LQ framework
XY Zhou et al.
APPLIED MATHEMATICS AND OPTIMIZATION (2000)
Optimal dynamic portfolio selection: Multiperiod mean-variance formulation
D Li et al.
MATHEMATICAL FINANCE (2000)
分享论文
