Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion

DOI10.1007/s11590-015-0970-8zbMath1414.91335OpenAlexW1940085213MaRDI QIDQ518137

Lu Xu, Xiangyu Cui, Yan Zeng

Publication date: 28 March 2017

Published in: Optimization Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11590-015-0970-8

zbMATH Keywords

continuous time mean-variance modelpiecewise linear risk aversiontime consistent policy

Mathematics Subject Classification ID

Applications of game theory (91A80) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Cites Work

• A theory of Markovian time-inconsistent stochastic control in discrete time
• Continuous time mean variance asset allocation: a time-consistent strategy
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
• Coherent multiperiod risk adjusted values and Bellman's principle
• Risk measures via \(g\)-expectations
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Time-Inconsistent Stochastic Linear--Quadratic Control
• VALUATIONS AND DYNAMIC CONVEX RISK MEASURES
• 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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