Multiperiod mean-standard-deviation time consistent portfolio selection

[1]  Mogens Steffensen,et al.  Inconsistent Investment and Consumption Problems , 2015 .

[2]  Alain Bensoussan,et al.  Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting , 2014, SIAM J. Financial Math..

[3]  Zhiping Chen,et al.  Time-consistent investment policies in Markovian markets: A case of mean–variance analysis , 2014 .

[4]  X. Zhou,et al.  MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION , 2014 .

[5]  Huiling Wu Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem , 2013, J. Appl. Math..

[6]  Zhiping Chen,et al.  Optimal investment policy in the time consistent mean–variance formulation , 2013 .

[7]  Iqbal Owadally An improved closed-form solution for the constrained minimization of the root of a quadratic functional , 2012, J. Comput. Appl. Math..

[8]  Huiling Wu,et al.  Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow☆ , 2012 .

[9]  William Levine The Control Handbook, Second Edition - 3 Volume Set , 2010 .

[10]  Tomas Bjork,et al.  A General Theory of Markovian Time Inconsistent Stochastic Control Problems , 2010 .

[11]  Esben Masotti Kryger,et al.  Some Solvable Portfolio Problems with Quadratic and Collective Objectives , 2010 .

[12]  Z. Landsman Translation-Invariant and Positive-Homogeneous Risk Measures and Optimal Portfolio Management , 2009 .

[13]  W. Schachermayer,et al.  Time consistency and information monotonicity of multiperiod acceptability functionals , 2009 .

[14]  Stephen P. Boyd,et al.  Multi-Period Portfolio Optimization with Constraints and Transaction Costs , 2009 .

[15]  Oswaldo Luiz V. Costa,et al.  A generalized multi-period mean-variance portfolio optimization with Markov switching parameters , 2008, Autom..

[16]  Z. Landsman Minimization of the root of a quadratic functional under an affine equality constraint , 2008 .

[17]  Süleyman Özekici,et al.  Portfolio optimization in stochastic markets , 2006, Math. Methods Oper. Res..

[18]  Jerzy A. Filar,et al.  Time Consistent Dynamic Risk Measures , 2006, Math. Methods Oper. Res..

[19]  Duan Li,et al.  Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation , 2000 .

[20]  R. H. Strotz Myopia and Inconsistency in Dynamic Utility Maximization , 1955 .

[21]  A. Roy Safety first and the holding of assetts , 1952 .