Better than pre-committed optimal mean-variance policy in a jump diffusion market
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Publication:2407984
DOI10.1007/s00186-017-0572-6zbMath1411.91529OpenAlexW3121901742MaRDI QIDQ2407984
Publication date: 9 October 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0572-6
mean field approachjump diffusion marketpre-committed optimal mean-variance policysemi-self-financing revised policytime consistency in efficiency
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Cites Work
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
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- Time-Inconsistent Stochastic Linear--Quadratic Control
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- Mean-Variance Hedging When There Are Jumps
- VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
- Golden Eggs and Hyperbolic Discounting
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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