Portfolio selection with contrarian strategy

DOI10.1007/S11009-024-10085-YzbMATH Open1543.91097MaRDI QIDQ6549582

Zhichao Lu, Peiyuan Pang, Yu-hong Xu, Wenxin Zhang

Publication date: 4 June 2024

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

portfolio selectionmean variancecontrarian strategygeometric mean-reversion process

Mathematics Subject Classification ID

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

Cites Work

• On time-inconsistent stochastic control in continuous time
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Mean-variance asset-liability management with asset correlation risk and insurance liabilities
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Mean Reversion in Stock Prices: Implications from a Production Based Asset Pricing Model
• Robust portfolios with commodities and stochastic interest rates
• A Note on Merton's Portfolio Selection Problem for the Schwartz Mean-Reversion Model
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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