Continuous-time mean-variance portfolios: a comparison-Reference-Cited by-同舟云学术

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Continuous-time mean-variance portfolios: a comparison

Published:2011-10-06 Issue:7 Volume:62 Page:961-973
ISSN:0233-1934
Container-title:Optimization
language:en
Short-container-title:Optimization

Author:

Alp Özge Sezgin¹²,Korn Ralf³⁴

Affiliation:

1. a Department of Accounting and Financial Management , Baskent University , 06810 Ankara , Turkey

2. b Institute of Applied Mathematics, Middle East Technical University , 06531 Ankara , Turkey

3. c Fachbereich Mathematik, TU Kaiserslautern , 67653 Kaiserslautern , Germany

4. d Fraunhofer ITWM , Fraunhofer Platz 1, 67663 Kaiserslautern , Germany

Publisher

Informa UK Limited

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Link

https://www.tandfonline.com/doi/pdf/10.1080/02331934.2011.619265

Reference13 articles.

1. Continuous-time mean-variance portfolio optimization in a jump-diffusion market

2. CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

3. Optimal Portfolios

4. Some applications of L2-hedging with a non-negative wealth process

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Continuous time mean–variance–utility portfolio problem and its equilibrium strategy;Optimization;2021-06-15

2. A Variational Approach for Mean-Variance-Optimal Deterministic Consumption and Investment;Innovations in Quantitative Risk Management;2015

3. Optimal Deterministic Investment Strategies for Insurers;Risks;2013-11-07

4. Investing equally in risk;Decisions in Economics and Finance;2011-08-27

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