Open Access
Volume 27, 2021
Article Number 92
Number of page(s) 23
Published online 20 September 2021
  1. I. Bajeux-Besnainou and R. Portait, Dynamic asset allocation in a mean-variance framework. Manag. Sci. 11 (1998) 79–95. [Google Scholar]
  2. S. Basak and G. Chabakauri, Dynamic mean-variance asset allocation. Rev. Financial Stud. 23 (2010) 2970–3016. [Google Scholar]
  3. A. Bensoussan, K. Sung and S.C.P. Yam, Linear-quadratic time-inconsistent mean field games. Dyn. Games. Appl. 3 (2013) 537–552. [Google Scholar]
  4. A. Bensoussan, K. Sung, S.C.P. Yam and S.P. Yung, Linear-quadratic mean field games. J. Optim. Theory Appl. 169 (2016) 496–529. [Google Scholar]
  5. T.R. Bielecki, H.Q. Jin, S. Pliska and X.Y. Zhou, Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Math. Finance 15 (2005) 213–244. [Google Scholar]
  6. T. Björk, A. Murgoci and X.Y. Zhou, Mean-variance protfolio optimization with state-dependent risk aversion. Math. Finance 24 (2014) 1–24. [CrossRef] [MathSciNet] [Google Scholar]
  7. T. Björk, M. Khapko and A. Murgoci, On time-inconsistent stochastic control in continuous time. Finance Stoch. 21 (2017) 331–360. [CrossRef] [Google Scholar]
  8. C. Christoph, Time-consistent mean-variance portfolio selection in discrete and continuous time. Finance Stoch. 17 (2013) 227–271. [Google Scholar]
  9. M. Dai, Z.Q. Xu and X.Y. Zhou, Continuous-time Markowitz’s model with transaction costs. SIAM J. Financial Math. 1 (2010) 96–125. [Google Scholar]
  10. M. Dai, H. Jin, K. Steven and Y. Xu, A dynamic mean-variance analysis for log returns. Manag. Sci. 67 (2020) 1–16. [Google Scholar]
  11. Y. Hu, H.Q. Jin and X.Y. Zhou, Time-inconsistent stochastic linear-quadratic control. SIAM J. Control Optim. 50 (2012) 1548–1572. [CrossRef] [Google Scholar]
  12. M. Huang, P.E. Caines and R.P. Malhame, The Nash certainty equivalence principle and McKean-Vlasov systems: an invariance principle and entry adaptation, in Proceedings of the 46th IEEE Conference on Decision and Control (2007) 121–126. [Google Scholar]
  13. C. Karnam, J. Ma and J. Zhang, Dynamic approaches for some time-inconsistent optimization problems. Ann. Appl. Probab. 27 (2017) 3435–3477. [Google Scholar]
  14. G. Kovácová and B. Rudloff, Time consistency of the mean-risk problem. Oper. Res. (2020) 1–37. [Google Scholar]
  15. F.E. Kydland and E. Prescott, Rules rather than discretion: the inconsistency of optimal plans. J. Polit. Econ. 85 (1997) 473–492. [Google Scholar]
  16. D. Li and W.L. Ng, Optimal dynamic portfolio selection: Multi-period mean-variance formulation. Math. Finance 10 (2000) 387–406. [CrossRef] [MathSciNet] [Google Scholar]
  17. A.E.B. 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]
  18. A.E.B. Lim and X.Y. Zhou, Quadratic hedging and mean-variance portfolio selection with random parameters in a complete market. Math. Oper. Res. 1 (2002) 101–120. [Google Scholar]
  19. H. Markowitz, Portfolio selection. J. Finance 7 (1952) 77–91. [Google Scholar]
  20. H. Markowitz, Portfolio Selection: Efficient Diversification of Investment. John Wiley & Sons, New York (1959). [Google Scholar]
  21. L. Martellini and B. Urošević, Static mean-variance analysis with uncertain time horizon. Manag. Sci. 52 (2006) 955–964. [Google Scholar]
  22. R.C. Merton, An analytic derivation of the efficient frontier. J. Finance Quant. Anal. 7 (1972) 1851–1872. [Google Scholar]
  23. C. Pun, Robust time-inconsistent stochastic control problems. Automatica 94 (2018) 249–257. [Google Scholar]
  24. H.R. Richardson, A minimum variance result in continuous trading portfolio optimization. Manag. Sci. 9 (1989) 1045–1055. [Google Scholar]
  25. Y. Shen, Mean-variance portfolio selection in a complete market with unbounded random coefficients. Automatica 55 (2015) 165–175. [Google Scholar]
  26. H.L. Wu, Z.F. Li and D. Li, Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time horizon. J. Syst. Sci. Complex 24 (2011) 140–155. [Google Scholar]
  27. J.M. Xia, Mean-variance portfolio choice: Quadratic partial hedging. Math. Finance 15 (2005) 533–538. [Google Scholar]
  28. T. Yan and H. Wong, Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility. Automatica 107 (2019) 211–223. [Google Scholar]
  29. S.Z. Yang, The necessary and sufficient conditions for stochastic differential systems with multi-time state cost functional. Syst. Control Lett. 114 (2018) 11–18. [Google Scholar]
  30. H. Yao and Q. Ma, Continuous time mean-variance model with uncertain exit time. International Conference on Management and Service Science, Wuhan (2010) 1–4. [Google Scholar]
  31. L. Yi, Z.F. Li and D. Li, Multi-period portfolio selection for asset-liability management with uncertain investment horizon. J. Ind. Manag. Optim. 4 (2008) 535–552. [Google Scholar]
  32. Z.Y. Yu, Continuous time mean-variance portfolio selection with random horizon. Appl. Math. Optim. 68 (2013) 333–359. [Google Scholar]
  33. X.Y. Zhou and D. Li, Continuous-time mean-variance portfolio selection: A stochastic LQ framework. Appl. Math. Optim. 42 (2000) 19–33. [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.