Pages that link to "Item:Q1573569"

The following pages link to Continuous-time mean-variance portfolio selection: a stochastic LQ framework (Q1573569):

Displaying 50 items.

• Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations (Q256114) (← links)
• Entrance times of random walks: with applications to pension fund modeling (Q282259) (← links)
• Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model (Q282291) (← links)
• Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277) (← links)
• Analyzing operational risk-reward trade-offs for start-ups (Q320040) (← links)
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (Q320296) (← links)
• Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time (Q321015) (← links)
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
• Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model (Q328079) (← links)
• Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence (Q328530) (← links)
• Portfolio selection based on a benchmark process with dynamic value-at-risk constraints (Q344301) (← links)
• Indefinite LQ optimal control with equality constraint for discrete-time uncertain systems (Q346624) (← links)
• Investing equally in risk (Q354660) (← links)
• Mean-variance portfolio selection with margin requirements (Q355783) (← links)
• The LMI approach for stabilizing of linear stochastic systems (Q361645) (← links)
• A stochastic maximum principle in mean-field optimal control problems for jump diffusions (Q375182) (← links)
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market (Q378275) (← links)
• Multi-period portfolio optimization for asset-liability management with bankrupt control (Q387508) (← links)
• The maximum principle for a jump-diffusion mean-field model and its application to the mean-variance problem (Q392462) (← links)
• Generalized coupled algebraic Riccati equations for discrete-time Markov jump with multiplicative noise systems (Q397371) (← links)
• Optimal asset allocation: a worst scenario expectation approach (Q438769) (← links)
• Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (Q450712) (← links)
• Dynamic optimal portfolio with maximum absolute deviation model (Q454257) (← links)
• Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance (Q458848) (← links)
• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722) (← links)
• Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach (Q490798) (← links)
• Dynamic cointegrated pairs trading: mean-variance time-consistent strategies (Q492113) (← links)
• Synergy effect of cooperative investment (Q513649) (← links)
• Optimal mean-variance portfolio selection (Q513742) (← links)
• Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion (Q518137) (← links)
• Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information (Q519261) (← links)
• Discrete time McKean-Vlasov control problem: a dynamic programming approach (Q520347) (← links)
• Stochastic linear quadratic optimal control with constraint for discrete-time systems (Q529912) (← links)
• Continuous-time mean-variance portfolio optimization in a jump-diffusion market (Q538272) (← links)
• A maximum principle for SDEs of mean-field type (Q538473) (← links)
• Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance (Q601881) (← links)
• Portfolio optimization when expected stock returns are determined by exposure to risk (Q605869) (← links)
• A Hamilton-Jacobi-Bellman approach to optimal trade execution (Q617638) (← links)
• Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
• Optimal portfolio selection with liability management and Markov switching under constrained variance (Q636696) (← links)
• Completion-of-squares: revisited and extended (Q643690) (← links)
• Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer (Q646755) (← links)
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market (Q646757) (← links)
• Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108) (← links)
• Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints (Q670237) (← links)
• Characterizations of closed-loop equilibrium solutions for dynamic mean-variance optimization problems (Q680407) (← links)
• Optimistic value model of multidimensional uncertain optimal control with jump (Q681138) (← links)
• Dynamic safety first expected utility model (Q724069) (← links)