COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS
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Publication:2882690
DOI10.1142/S0219024912500148zbMath1282.91312OpenAlexW1975574867MaRDI QIDQ2882690
Publication date: 7 May 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024912500148
Numerical methods (including Monte Carlo methods) (91G60) Finite difference methods for boundary value problems involving PDEs (65N06) Portfolio theory (91G10)
Related Items (11)
\(l_1\)-regularization for multi-period portfolio selection ⋮ Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Optimal trade execution: a mean quadratic variation approach ⋮ Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach ⋮ The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management ⋮ On pre-commitment aspects of a time-consistent strategy for a mean-variance investor ⋮ Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation ⋮ Continuous-time portfolio optimization for absolute return funds ⋮ ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION ⋮ Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach ⋮ Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
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