Continuous-time mean–risk portfolio selection

Hanqing Jin; Jia-An Yan; Xun Yu Zhou

Annales de l'I.H.P. Probabilités et statistiques (2005)

  • Volume: 41, Issue: 3, page 559-580
  • ISSN: 0246-0203

How to cite

top

Jin, Hanqing, Yan, Jia-An, and Zhou, Xun Yu. "Continuous-time mean–risk portfolio selection." Annales de l'I.H.P. Probabilités et statistiques 41.3 (2005): 559-580. <http://eudml.org/doc/77858>.

@article{Jin2005,
author = {Jin, Hanqing, Yan, Jia-An, Zhou, Xun Yu},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
language = {eng},
number = {3},
pages = {559-580},
publisher = {Elsevier},
title = {Continuous-time mean–risk portfolio selection},
url = {http://eudml.org/doc/77858},
volume = {41},
year = {2005},
}

TY - JOUR
AU - Jin, Hanqing
AU - Yan, Jia-An
AU - Zhou, Xun Yu
TI - Continuous-time mean–risk portfolio selection
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2005
PB - Elsevier
VL - 41
IS - 3
SP - 559
EP - 580
LA - eng
UR - http://eudml.org/doc/77858
ER -

References

top
  1. [1] T.R. Bielecki, S.R. Pliska, H. Jin, X.Y. Zhou, Continuous-time mean–variance portfolio selection with bankruptcy prohibition, Math. Finance, in press. Zbl1153.91466MR2132190
  2. [2] X. Cai, K.L. Teo, X. Yang, X.Y. Zhou, Portfolio optimization under a minimax rule, Manag. Sci.46 (2000) 957-972. Zbl1231.91149
  3. [3] J. Cvitanić, I. Karatzas, On dynamic measures of risk, Finance Stochast.3 (1999) 451-482. Zbl0982.91030MR1842283
  4. [4] N. El Karoui, S. Peng, M.C. Quenez, Backward stochastic differential equations in finance, Math. Finance7 (1997) 1-71. Zbl0884.90035MR1434407
  5. [5] R.J. Elliott, P.E. Kopp, Mathematics of Financial Markets, Springer-Verlag, New York, 1999. Zbl0943.91035MR1674047
  6. [6] P.C. Fishburn, Mean-risk analysis with risk associated with below-target returns, Amer. Econ. Rev.67 (1977) 116-126. 
  7. [7] H. Föllmer, P. Leukert, Quantile hedging, Finance Stochast.3 (1999) 251-273. Zbl0977.91019MR1842286
  8. [8] H. Jin, X.Y. Zhou, Continuous-time Markowitz's problems in an incomplete market, with constrained portfolios, Working paper, 2004. 
  9. [9] P. Jorion, Vale at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, New York, 2001. 
  10. [10] I. Karatzas, S.E. Shreve, Methods of Mathematical Finance, Springer-Verlag, New York, 1998. Zbl0941.91032MR1640352
  11. [11] M. Kulldorff, Optimal control of a favorable game with a time-limit, SIAM J. Contr. Optim.31 (1993) 52-69. Zbl0770.90099MR1200222
  12. [12] H. Konno, H. Yamazaki, Mean–absolute deviation portfolio optimization model and its application to Tokyo stock market, Manag. Sci.37 (1991) 519-531. 
  13. [13] X. Li, X.Y. Zhou, A.E.B. Lim, Dynamic mean–variance portfolio selection with no-shorting constraints, SIAM J. Contr. Optim.40 (2001) 1540-1555. Zbl1027.91040MR1882807
  14. [14] A.E.B. Lim, X.Y. Zhou, Mean–variance portfolio selection with random parameters in a complete market, Math. Oper. Res.27 (2002) 101-120. Zbl1082.91521MR1886222
  15. [15] J. Ma, P. Protter, J. Yong, Solving forward–backward stochastic differential equations explicitly – a four step scheme, Prob. Theory Related Fields98 (1994) 339-359. Zbl0794.60056MR1262970
  16. [16] J. Ma, J. Yong, Forward–Backward Stochastic Differential Equations and Their Applications, Lect. Notes in Math., vol. 1702, Springer-Verlag, New York, 1999. Zbl0927.60004MR1704232
  17. [17] H. Markowitz, Portfolio selection, J. Finance7 (1952) 77-91. 
  18. [18] H. Markowitz, Portfolio Selection: Efficient Diversification of Investments, Wiley, New York, 1959. MR103768
  19. [19] D. Nawrocki, A brief history of downside risk measures, J. Investing8 (1999) 9-25. 
  20. [20] S.R. Pliska, A discrete time stochastic decision model, in: Fleming W.H., Gorostiza L.G. (Eds.), Advances in Filtering and Optimal Stochastic Control, Lecture Notes in Control and Information Sci., vol. 42, Springer-Verlag, New York, 1982, pp. 290-304. Zbl0501.90088MR794525
  21. [21] R.T. Rockafellar, Convex Analysis, Princeton University Press, Princeton, 1970. Zbl0193.18401MR274683
  22. [22] F.A. Sortino, R. van der Meer, Downside risk, J. Portfolio Manag.17 (1991) 27-31. 
  23. [23] M.C. Steinbach, Markowitz revisited: mean–variance models in financial portfolio analysis, SIAM Rev.43 (2001) 31-85. Zbl1049.91086MR1854646
  24. [24] J. Yong, X.Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations, Springer, New York, 1999. Zbl0943.93002MR1696772
  25. [25] X.Y. Zhou, Markowitz's world in continuous-time, and beyond, in: Yao D.D., (Eds.), Stochastic Modeling and Optimization, Springer, New York, 2003, pp. 279-310. Zbl1050.91055MR1963526
  26. [26] X.Y. Zhou, D. Li, Continuous time mean–variance portfolio selection: a stochastic LQ framework, Appl. Math. Optim.42 (2000) 19-33. Zbl0998.91023MR1751306

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.