Continuous Time Portfolio Optimization with Twice Integrated Kernel-Based Collocation-Reference-Cited by-同舟云学术

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Continuous Time Portfolio Optimization with Twice Integrated Kernel-Based Collocation

Published:2022-03-31 Issue:0 Volume:2022 Page:80-85
ISSN:2188-4730
Container-title:Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
language:en
Short-container-title:Stochastic Systems Theory and its Applications (SSS)

Author:

IEDA Masashi¹

Affiliation:

1. Department of Business Economics, School of Management, Tokyo University of Science

Publisher

The Institute of Systems, Control and Information Engineers

Subject

General Medicine

Link

https://www.jstage.jst.go.jp/article/sss/2022/0/2022_80/_pdf

Reference11 articles.

1. [1] R. C. Merton. “Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case”. In: The Review of Economics and Statistics 51.3 (1969), p.247.

2. [2] S. M. Sundaresan. “Continuous-Time Methods in Finance: A Review and an Assessment”. In: The Journal of Finance 55.4 (2000), pp.1569–1622.

3. [3] J. Wang and P. A. Forsyth. “Comparison of Mean Variance Like Strategies for Optimal Asset Allocation Problems”. In: International Journal of Theoretical and Applied Finance 15.02 (2012), p.1250014.

4. [4] A. Ismail and H. Pham. “Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix”. In: Mathematical Finance 29.1 (2019), pp.174–207.

5. [5] P. A. Forsyth and K. R. Vetzal. “Robust asset allocation for long-term target-based investing”. In: International Journal of Theoretical and Applied Finance 20.03 (2017), p.1750017.

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