Semimartingale theory of monotone mean–variance portfolio allocation-Reference-Cited by-同舟云学术

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Semimartingale theory of monotone mean–variance portfolio allocation

Published:2020-03-04 Issue:3 Volume:30 Page:1168-1178
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Černý Aleš¹

Affiliation:

1. Cass Business School, CityUniversity of LondonLondon UK

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12241

Reference15 articles.

1. Complete markets do not allow free cash flow streams

2. AN OLD-NEW CONCEPT OF CONVEX RISK MEASURES: THE OPTIMIZED CERTAINTY EQUIVALENT

3. Admissible Strategies in Semimartingale Portfolio Selection

4. Convex duality and Orlicz spaces in expected utility maximization

5. Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *

Cited by 5 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. Constrained Monotone Mean-Variance Problem with Random Coefficients;SIAM Journal on Financial Mathematics;2023-08-01

2. Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models;SIAM Journal on Financial Mathematics;2022-10-13

3. Performance attribution, time-weighted rate of return, and clean finite change sensitivity index;Journal of Asset Management;2022-01-14

4. Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth;Mathematics of Operations Research;2021-07-26

5. Dynamic Mean-Risk Asset Allocation and Myopic Strategies: A Universal Portfolio Rule;SSRN Electronic Journal;2017

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