On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
type: Item
instance of: scholarly article
title: On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
zbMATH Open document ID: 1401.91512
author: Y. Aharonov
publication date: 2018-08-10T00:00:00Z
full work available at URL: https://ir.cwi.nl/pub/24773
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6916109
zbMATH Keywords: finance
zbMATH Keywords: investment analysis
zbMATH Keywords: decision analysis
zbMATH Keywords: simulation
zbMATH Keywords: time-consistency
MaRDI profile type: Publication
OpenAlex ID: W3121841951
cites work: Q3241581
cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
cites work: MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
cites work: Optimal investment policy in the time consistent mean-variance formulation
cites work: Pricing Bermudan options under Merton jump-diffusion asset dynamics
cites work: Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
cites work: Optimal multi-period mean-variance policy under no-shorting constraint
cites work: BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
cites work: Time-consistent mean-variance portfolio selection in discrete and continuous time
cites work: Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
cites work: Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
cites work: The 4% strategy revisited: a pre-commitment mean-variance optimal approach to wealth management
cites work: Dynamic mean-variance portfolio selection with borrowing constraint
cites work: Optimal investment choices post-retirement in a defined contribution pension scheme
cites work: Optimal investment strategies and risk measures in defined contribution pension schemes.
cites work: Time-inconsistent stochastic linear-quadratic control
cites work: The stochastic grid bundling method: efficient pricing of Bermudan options and their Greeks
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
cites work: Option pricing when underlying stock returns are discontinuous
cites work: On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
cites work: Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
cites work: Continuous time mean variance asset allocation: a time-consistent strategy
cites work: Comparison of mean variance like strategies for optimal asset allocation problems
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
cites work: Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
DOI: 10.1016/J.JEDC.2016.07.010
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 6916109