Add to ORKGAssuming that the wealth process Xu is generated self-financially from the given initial wealth by holding its fraction u in a risky stock (whose price follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0) and its remaining fraction 1−u in a riskless bond (whose price compounds exponentially with interest rate r ∈ IR), and letting Pt,x denote a probability measure under which Xu takes value x at time t, we study the dynamic version of the nonlinear mean-variance optimal control problem sup
We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using d...
In this paper we deal with the mean-variance portfolio selection for a defined contribution (DC) pen...
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic i...
Assuming that the wealth process Xu is generated self-financially from the given initial wealth by h...
The mean-variance formulation by Markowitz for modern optimal portfolio selection has been analyzed ...
Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility...
This paper derives the mean-variance efficient frontier and optimal portfolio policies for a dynamic...
Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance ana...
In this paper we formulate a continuous-time mean-variance portfolio selection model with multiple r...
This paper studies the portfolio optimization of mean-variance utility with state-dependent risk ave...
We study the continuous-time mean-variance portfolio selection problem in the situation when investo...
We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using d...
This paper derives explicit closed form solutions, for the efficient frontier and optimal investment...
This thesis is devoted to Markowitz's mean-variance portfolio selection problem in continuous time f...
We investigate some portfolio problems that consist of maximizing expected terminal wealth under the...
We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using d...
In this paper we deal with the mean-variance portfolio selection for a defined contribution (DC) pen...
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic i...
Assuming that the wealth process Xu is generated self-financially from the given initial wealth by h...
The mean-variance formulation by Markowitz for modern optimal portfolio selection has been analyzed ...
Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility...
This paper derives the mean-variance efficient frontier and optimal portfolio policies for a dynamic...
Contrary to static mean-variance analysis, very few papers have dealt with dynamic mean-variance ana...
In this paper we formulate a continuous-time mean-variance portfolio selection model with multiple r...
This paper studies the portfolio optimization of mean-variance utility with state-dependent risk ave...
We study the continuous-time mean-variance portfolio selection problem in the situation when investo...
We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using d...
This paper derives explicit closed form solutions, for the efficient frontier and optimal investment...
This thesis is devoted to Markowitz's mean-variance portfolio selection problem in continuous time f...
We investigate some portfolio problems that consist of maximizing expected terminal wealth under the...
We solve the dynamic mean-variance portfolio problem and derive its time-consistent solution using d...
In this paper we deal with the mean-variance portfolio selection for a defined contribution (DC) pen...
In order to tackle the problem of how investors in financial markets allocate wealth to stochastic i...