Free access
Volume 16, Number 3, July-September 2010
Page(s) 635 - 647
Published online 18 June 2009
  1. N.G. Dokuchaev, Dynamic portfolio strategies: quantitative methods and empirical rules for incomplete information. Kluwer, Boston (2002).
  2. N. Dokuchaev, Saddle points for maximin investment problems with observable but non-predictable parameters: solution via heat equation. IMA J. Management Mathematics 17 (2006) 257–276. [CrossRef]
  3. N. Dokuchaev, Discrete time market with serial correlations and optimal myopic strategies. European J. Oper. Res. 177 (2007) 1090–1104. [CrossRef] [MathSciNet]
  4. N. Dokuchaev, Maximin investment problems for discounted and total wealth. IMA J. Management Mathematics 19 (2008) 63–74. [CrossRef]
  5. N Dokuchaev, Optimality of myopic strategies for multi-stock discrete time market with management costs. European J. Oper. Res. (to appear).
  6. N.G. Dokuchaev and U. Haussmann, Optimal portfolio selection and compression in an incomplete market. Quantitative Finance 1 (2001) 336–345. [CrossRef] [MathSciNet]
  7. E. Dynkin and I. Evstigneev, Regular conditional expectations of correspondences. Theory Probab. Appl. 21 (1976) 325–338. [CrossRef]
  8. D. Feldman, Incomplete information equilibria: separation theorem and other myths. Ann. Oper. Res. 151 (2007) 119–149. [CrossRef] [MathSciNet]
  9. N.H. Hakansson, On optimal myopic portfolio policies, with and without serial correlation of yields. J. Bus. 44 (1971) 324–334. [CrossRef]
  10. P. Henrotte, Dynamic mean variance analysis. Working paper, SSRN: (2002).
  11. C. Hipp and M. Taksar, Hedging general claims and optimal control. Working paper (2000).
  12. H. Leland, Dynamic Portfolio Theory. Ph.D. Thesis, Harvard University, USA (1968).
  13. D. Li and W.L. Ng, Optimal portfolio selection: multi-period mean-variance optimization. Math. Finance 10 (2000) 387–406. [CrossRef] [MathSciNet]
  14. A. Lim, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market. Math. Oper. Res. 29 (2004) 132–161. [CrossRef] [MathSciNet]
  15. A. Lim and X.Y. Zhou, Mean-variance portfolio selection with random parameters in a complete market. Math. Oper. Res. 27 (2002) 101–120. [CrossRef] [MathSciNet]
  16. D.G. Luenberger, Optimization by Vector Space Methods. John Wiley, New York (1968).
  17. H.M. Markowitz, Portfolio Selection: Efficient Diversification of Investment. New York: John Wiley & Sons (1959).
  18. R. Merton, Lifetime portfolio selection under uncertainty: the continuous-time case. Rev. Economics Statistics 51 (1969) 247–257. [CrossRef]
  19. J. Mossin, Optimal multi-period portfolio policies. J. Business 41 (1968) 215–229. [CrossRef]
  20. S.R. Pliska, Introduction to mathematical finance: discrete time models. Blackwell Publishers (1997).
  21. M. Schweizer, Variance-optimal hedging in discrete time. Math. Oper. Res. 20 (1995) 1–32. [CrossRef] [MathSciNet]