EDP Sciences logo
Subscriber Authentication Point
Search
Menu
All issues Volume 16 / No 3 (July-September 2010) ESAIM: COCV, 16 3 (2010) 635-647 References
Free Access
Issue
ESAIM: COCV
Volume 16, Number 3, July-September 2010
Page(s) 635 - 647
DOI https://doi.org/10.1051/cocv/2009008
Published online 18 June 2009
  1. N.G. Dokuchaev, Dynamic portfolio strategies: quantitative methods and empirical rules for incomplete information. Kluwer, Boston (2002). [Google Scholar]
  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] [Google Scholar]
  3. N. Dokuchaev, Discrete time market with serial correlations and optimal myopic strategies. European J. Oper. Res. 177 (2007) 1090–1104. [CrossRef] [MathSciNet] [Google Scholar]
  4. N. Dokuchaev, Maximin investment problems for discounted and total wealth. IMA J. Management Mathematics 19 (2008) 63–74. [Google Scholar]
  5. N Dokuchaev, Optimality of myopic strategies for multi-stock discrete time market with management costs. European J. Oper. Res. (to appear). [Google Scholar]
  6. N.G. Dokuchaev and U. Haussmann, Optimal portfolio selection and compression in an incomplete market. Quantitative Finance 1 (2001) 336–345. [CrossRef] [MathSciNet] [Google Scholar]
  7. E. Dynkin and I. Evstigneev, Regular conditional expectations of correspondences. Theory Probab. Appl. 21 (1976) 325–338. [CrossRef] [Google Scholar]
  8. D. Feldman, Incomplete information equilibria: separation theorem and other myths. Ann. Oper. Res. 151 (2007) 119–149. [Google Scholar]
  9. N.H. Hakansson, On optimal myopic portfolio policies, with and without serial correlation of yields. J. Bus. 44 (1971) 324–334. [CrossRef] [Google Scholar]
  10. P. Henrotte, Dynamic mean variance analysis. Working paper, SSRN: http://ssrn.com/abstract=323397 (2002). [Google Scholar]
  11. C. Hipp and M. Taksar, Hedging general claims and optimal control. Working paper (2000). [Google Scholar]
  12. H. Leland, Dynamic Portfolio Theory. Ph.D. Thesis, Harvard University, USA (1968). [Google Scholar]
  13. D. Li and W.L. Ng, Optimal portfolio selection: multi-period mean-variance optimization. Math. Finance 10 (2000) 387–406. [CrossRef] [MathSciNet] [Google Scholar]
  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] [Google Scholar]
  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] [Google Scholar]
  16. D.G. Luenberger, Optimization by Vector Space Methods. John Wiley, New York (1968). [Google Scholar]
  17. H.M. Markowitz, Portfolio Selection: Efficient Diversification of Investment. New York: John Wiley & Sons (1959). [Google Scholar]
  18. R. Merton, Lifetime portfolio selection under uncertainty: the continuous-time case. Rev. Economics Statistics 51 (1969) 247–257. [Google Scholar]
  19. J. Mossin, Optimal multi-period portfolio policies. J. Business 41 (1968) 215–229. [CrossRef] [Google Scholar]
  20. S.R. Pliska, Introduction to mathematical finance: discrete time models. Blackwell Publishers (1997). [Google Scholar]
  21. M. Schweizer, Variance-optimal hedging in discrete time. Math. Oper. Res. 20 (1995) 1–32. [CrossRef] [MathSciNet] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.