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A note on monotone mean–variance preferences for continuous processes

Published:2020-07 Issue:4 Volume:48 Page:397-400
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Strub Moris S.^ORCID,Li Duan

Funder

Southern University of Science and Technology, China

Hong Kong Research Grants Council, Hong Kong

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference35 articles.

1. Dynamic mean-variance asset allocation;Basak;Rev. Financ. Stud.,2010

2. Complete markets do not allow free cash flow streams;Bäuerle;Math. Methods Oper. Res.,2015

3. Continuous-time mean-variance portfolio selection with bankruptcy prohibition;Bielecki;Math. Finance,2005

4. A theory of Markovian time-inconsistent stochastic control in discrete time;Björk;Finance Stoch.,2014

5. Mean-variance portfolio optimization with state dependent risk aversion;Björk;Math. Finance,2014

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1. Constrained monotone mean–variance investment-reinsurance under the Cramér–Lundberg model with random coefficients;Systems & Control Letters;2024-06

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

3. Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference;International Journal of Control;2023-05-03

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

5. Risk and Potential: An Asset Allocation Framework with Applications to Robo-Advising;Journal of the Operations Research Society of China;2022-06-16

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