Mean-risk portfolio selection models in continuous time

2004 43rd IEEE Conference on Decision and Control (CDC) (IEEE Cat. No.04CH37601) ◽

10.1109/cdc.2004.1429350 ◽

2004 ◽

Author(s):

Hanqing Jin ◽

Jia-An Yan ◽

Xun Yu Zhou

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Selection Models ◽

Mean Risk

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Dynamic Mean-Risk Portfolio Selection with Multiple Risk Measures in Continuous-Time

SSRN Electronic Journal ◽

10.2139/ssrn.2382343 ◽

2014 ◽

Cited By ~ 1

Author(s):

Jianjun Gao ◽

Yan Xiong ◽

Duan Li

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Risk Measures ◽

Multiple Risk ◽

Mean Risk

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Behavioral mean-risk portfolio selection in continuous time via quantile

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1990955 ◽

2021 ◽

pp. 1-30

Author(s):

Junna Bi ◽

Danping Li

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Mean Risk

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Continuous-time mean–risk portfolio selection

Annales de l Institut Henri Poincaré Probabilités et Statistiques ◽

10.1016/j.anihpb.2004.09.009 ◽

2005 ◽

Vol 41 (3) ◽

pp. 559-580 ◽

Cited By ~ 26

Author(s):

H JIN ◽

J YAN ◽

X ZHOU

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Mean Risk

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Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

European Journal of Operational Research ◽

10.1016/j.ejor.2015.09.005 ◽

2016 ◽

Vol 249 (2) ◽

pp. 647-656 ◽

Cited By ~ 18

Author(s):

Jianjun Gao ◽

Yan Xiong ◽

Duan Li

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Risk Measures ◽

Multiple Risk ◽

Mean Risk

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Penalty methods for continuous-time portfolio selection with proportional transaction costs

The Journal of Computational Finance ◽

10.21314/jcf.2010.221 ◽

2010 ◽

Vol 13 (3) ◽

pp. 1-31 ◽

Cited By ~ 34

Author(s):

Min Dai ◽

Yifei Zhong

Keyword(s):

Transaction Costs ◽

Portfolio Selection ◽

Continuous Time ◽

Penalty Methods ◽

Proportional Transaction Costs

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Continuous-time mean–variance portfolio selection with random horizon in an incomplete market

Automatica ◽

10.1016/j.automatica.2016.02.017 ◽

2016 ◽

Vol 69 ◽

pp. 176-180 ◽

Cited By ~ 8

Author(s):

Siyu Lv ◽

Zhen Wu ◽

Zhiyong Yu

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Incomplete Market ◽

Random Horizon ◽

Mean Variance Portfolio ◽

Mean Variance

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Bicriteria Exploratory Mean-Variance Portfolio Selection Problem in Continuous Time

10.1109/ccdc52312.2021.9602795 ◽

2021 ◽

Author(s):

Heng Zhang

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Selection Problem ◽

Portfolio Selection Problem ◽

Mean Variance Portfolio ◽

Mean Variance

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Reaching goals under ambiguity: Continuous-time optimal portfolio selection

Statistics & Probability Letters ◽

10.1016/j.spl.2018.01.010 ◽

2018 ◽

Vol 137 ◽

pp. 63-69

Author(s):

Shaolin Ji ◽

Xiaomin Shi

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Optimal Portfolio ◽

Time Optimal ◽

Optimal Portfolio Selection

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Continuous-time mean–variance portfolio selection with liability and regime switching

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2009.05.005 ◽

2009 ◽

Vol 45 (1) ◽

pp. 148-155 ◽

Cited By ~ 16

Author(s):

Shuxiang Xie

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Regime Switching ◽

Mean Variance Portfolio ◽

Mean Variance

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Dynamic Portfolio Selection and Risk-Return Trade off with Respect to Stock Price Jumps in Continuous Time

SSRN Electronic Journal ◽

10.2139/ssrn.15137 ◽

1997 ◽

Cited By ~ 1

Author(s):

Bernhard Nietert

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Stock Price ◽

Trade Off ◽

Risk Return ◽

Dynamic Portfolio

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