Delegated dynamic portfolio management under mean-variance preferences

DOI10.1155/JAMDS/2006/61895zbMath1152.91492MaRDI QIDQ955492

Coskun Cetin

Publication date: 20 November 2008

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/129504

Mathematics Subject Classification ID

Related Items (2)

MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS ⋮ Mutual fund competition in the presence of dynamic flows

Cites Work

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• Optimal contracts in continuous-time models
• Convex duality in constrained portfolio optimization
• Stochastic Verification Theorems within the Framework of Viscosity Solutions
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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