Continuous-time mean-variance portfolios: a comparison

DOI10.1080/02331934.2011.619265zbMath1280.91144OpenAlexW2121199633MaRDI QIDQ2868909

Ralf Korn, Özge Sezgin Alp

Publication date: 19 December 2013

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2011.619265

zbMATH Keywords

mean-variance portfolio optimization\(L^2\)-projectioncontinuous-time Markowitz problemLindberg parameterization

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

Related Items (2)

Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Investing equally in risk

Cites Work

• Continuous-time mean-variance portfolio optimization in a jump-diffusion market
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.
• Continuous-time mean-variance efficiency: the 80\% rule
• Approximating random variables by stochastic integrals
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Some applications of L2-hedging with a non-negative wealth process
• Continuous-time portfolio optimization under terminal wealth constraints
• The relaxed investor and parameter uncertainty

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