Semimartingale theory of monotone mean–variance portfolio allocation

Mathematical Finance ◽

10.1111/mafi.12241 ◽

2020 ◽

Vol 30 (3) ◽

pp. 1168-1178

Author(s):

Aleš Černý

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Semimartingale Theory of Monotone Mean-Variance Portfolio Allocation

SSRN Electronic Journal ◽

10.2139/ssrn.3353703 ◽

2019 ◽

Author(s):

Aleš Černý

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Mean variance portfolio allocation

Encyclopedia of Finance ◽

10.1007/978-0-387-26336-6_45 ◽

2006 ◽

pp. 457-463

Author(s):

Cheng Hsiao ◽

Shin-Huei Wang

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Mean-Variance Portfolio Allocation with a Value at Risk Constraint

SSRN Electronic Journal ◽

10.2139/ssrn.272730 ◽

2001 ◽

Cited By ~ 12

Author(s):

Enrique Sentana

Keyword(s):

At Risk ◽

Value At Risk ◽

Portfolio Allocation ◽

A Value ◽

Risk Constraint ◽

Mean Variance Portfolio ◽

Mean Variance

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Large Scale Continuous-Time Mean-Variance Portfolio Allocation via Reinforcement Learning

SSRN Electronic Journal ◽

10.2139/ssrn.3428125 ◽

2019 ◽

Cited By ~ 1

Author(s):

Haoran Wang

Keyword(s):

Reinforcement Learning ◽

Continuous Time ◽

Large Scale ◽

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Mean Variance Portfolio Allocation

Encyclopedia of Finance ◽

10.1007/978-1-4614-5360-4_20 ◽

2012 ◽

pp. 341-346

Author(s):

Cheng Hsiao ◽

Shin-Huei Wang

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Mean variance portfolio allocation

10.1007/springerreference_2883 ◽

2011 ◽

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Mean variance portfolio allocation

Encyclopedia of Finance ◽

10.1007/0-387-26336-5_2245 ◽

2008 ◽

pp. 457-463

Author(s):

Cheng Hsiao ◽

Shin-Huei Wang

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach

European Journal of Operational Research ◽

10.1016/j.ejor.2015.10.015 ◽

2016 ◽

Vol 250 (3) ◽

pp. 827-841 ◽

Cited By ~ 40

Author(s):

D.M. Dang ◽

P.A. Forsyth

Keyword(s):

Bellman Equation ◽

Portfolio Allocation ◽

Equation Approach ◽

Hamilton Jacobi Bellman Equation ◽

Hamilton Jacobi Bellman ◽

Mean Variance Portfolio ◽

Mean Variance ◽

Better Than ◽

Allocation Strategies

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Tax impact on multi-stage mean-variance portfolio allocation

International Transactions in Operational Research ◽

10.1111/j.1475-3995.2004.00475.x ◽

2004 ◽

Vol 11 (5) ◽

pp. 535-554 ◽

Cited By ~ 2

Author(s):

M.A. Osorio ◽

N. Gulpinar ◽

B. Rustem ◽

R. Settergren

Keyword(s):

Portfolio Allocation ◽

Multi Stage ◽

Mean Variance Portfolio ◽

Mean Variance

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A Further Comment on the Zero Row-Sum Property of Mean-Variance Portfolio Allocation Models

Economic Record ◽

10.1111/j.1475-4932.1986.tb00880.x ◽

1986 ◽

Vol 62 (1) ◽

pp. 49-51 ◽

Cited By ~ 1

Author(s):

T. J. VALENTINE

Keyword(s):

Portfolio Allocation ◽

Mean Variance Portfolio ◽

Mean Variance

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