Time consistent in efficiency dynamic mean–variance policy-Reference-Cited by-同舟云学术

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Time consistent in efficiency dynamic mean–variance policy

Published:2022-02-21 Issue:1 Volume:74 Page:195-208
ISSN:0160-5682
Container-title:Journal of the Operational Research Society
language:en
Short-container-title:Journal of the Operational Research Society

Author:

Shi Yun¹,Li Duan²,Cui Xiangyu³

Affiliation:

1. The Academy of Statistics and Interdisciplinary Sciences, Faculty of Economics and Management, East China Normal University, Shanghai, China

2. School of Data Science, City University of Hong Kong, Hong Kong, China

3. School of Statistics and Management, Shanghai Institute of International Finance and Economics, Shanghai University of Finance and Economics, Shanghai, China

Funder

National Natural Science Foundation of China

Key Program of National Natural Science Foundation of China

Shanghai Institute of International Finance and Economics

Program for Innovative Research Team of Shanghai University of Finance and Economics

Open Research Fund of Key Laboratory of Advanced Theory and Application in Statistics and Data Science - MOE

Publisher

Informa UK Limited

Subject

Marketing,Management Science and Operations Research,Strategy and Management,Management Information Systems

Link

https://www.tandfonline.com/doi/pdf/10.1080/01605682.2022.2032428

Reference33 articles.

1. Coherent multiperiod risk adjusted values and Bellman’s principle

2. Dynamic Mean-Variance Asset Allocation

3. MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION

4. Capital Market Equilibrium with Restricted Borrowing

5. Time Consistent Dynamic Risk Measures

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