Continuous-time mean-variance portfolios: a comparison
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Publication:2868909
DOI10.1080/02331934.2011.619265zbMath1280.91144OpenAlexW2121199633MaRDI QIDQ2868909
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
mean-variance portfolio optimization\(L^2\)-projectioncontinuous-time Markowitz problemLindberg parameterization
Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)
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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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