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On linear convergence of projected gradient method for a class of affine rank minimization problems
Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
1. | Department of Mathematics and Statistics, Curtin University, Kent Street, Bentley, Perth, Western Australia 6102, Australia, Australia, Australia, Australia |
References:
[1] |
I. Bajeux-Besnainou and R. Portait, Dynamic asset allocation in a mean-variance framework,, Management Science, 44 (1998), 79.
doi: 10.1287/mnsc.44.11.S79. |
[2] |
S. Basak and G. Chabakauri, Dynamic mean-variance asset allocation,, Review of Financial Studies, 23 (2010), 2970. Google Scholar |
[3] |
T. R. Bielecki, H. Jin, S. R. Pliska and X. Y. Zhou, Continuous-time mean-variance portfolio selection with bankruptcy prohibition,, Mathematical Finance, 15 (2005), 213.
doi: 10.1111/j.0960-1627.2005.00218.x. |
[4] |
T. Börk, A. Murgoci and X. Y. Zhou, Mean-variance Portfolio Optimization with State-Dependent Risk Aversion,, Mathematical Finance, 24 (2014), 1.
doi: 10.1111/j.1467-9965.2011.00515.x. |
[5] |
T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochastic control problems,, preprint., (). Google Scholar |
[6] |
J. C. Cox, J. E. Innersole and S. A. Ross, A theory of the term structure of interest rates,, Econometrica, 53 (1985), 385.
doi: 10.2307/1911242. |
[7] |
M. Dai, Z. Xu and X. Y. Zhou, Continuous-Time Markowitz's model with transaction costs,, SIAM Journal on Financial Mathematics, 1 (2010), 96.
doi: 10.1137/080742889. |
[8] |
J. B. Detemple and F. Zapatero, Asset prices in an exchange economy with habit formation,, Econometrica, 59 (1991), 1633.
doi: 10.2307/2938283. |
[9] |
S. M. Goldman, Consistent plans,, The Review of Economic Studies, 47 (1980), 533.
doi: 10.2307/2297304. |
[10] |
P. Krusell and A. A. Smith, Consumption-savings decisions with quasi-geometric discounting,, Econometrica, 71 (2003), 366.
doi: 10.1111/1468-0262.00400. |
[11] |
F. E. Kydland and E. C. Prescott, Rules rather than discretion: The inconsistency of optimal plans,, The Journal of Political Economy, 85 (1997), 473. Google Scholar |
[12] |
D. Li and W. L. Ng, Optimal dynamic portfolio selection: Multiperiod Mean-variance formulation,, Mathematical Finance, 10 (2000), 387.
doi: 10.1111/1467-9965.00100. |
[13] |
A. E. B. Lim and X. Y. Zhou, Mean-variance portfolio selection with random parameters in a complete market,, Mathematics of Operations Research, 27 (2002), 101.
doi: 10.1287/moor.27.1.101.337. |
[14] |
A. E. B. Lim, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market,, Mathematics of Operations Research, 29 (2004), 132.
doi: 10.1287/moor.1030.0065. |
[15] |
H. Markowitz, Portfolio selection,, The journal of finance, 7 (1952), 77. Google Scholar |
[16] |
R. A. Pollak, Consistent planning,, The Review of Economic Studies, 35 (1968), 201.
doi: 10.2307/2296548. |
[17] |
B. Peleg and M. E. Yaar, On the existence of a consistent course of action when tastes are changing,, The Review of Economic Studies, 40 (1973), 391.
doi: 10.2307/2296458. |
[18] |
H. R. Richardson, A minimum variance result in continuous trading portfolio optimization,, Management Science, 35 (1989), 1045.
doi: 10.1287/mnsc.35.9.1045. |
[19] |
J. Xia, Mean-variance portfolio choice: Quadratic partial hedging,, Mathematical Finance, 15 (2005), 533.
doi: 10.1111/j.1467-9965.2005.00231.x. |
[20] |
J. E. Zhang, H. Zhao and E. C. Chang, Equilibrium asset and option pricing under jump diffusion,, Mathematical Finance, 22 (2012), 538.
doi: 10.1111/j.1467-9965.2010.00468.x. |
show all references
References:
[1] |
I. Bajeux-Besnainou and R. Portait, Dynamic asset allocation in a mean-variance framework,, Management Science, 44 (1998), 79.
doi: 10.1287/mnsc.44.11.S79. |
[2] |
S. Basak and G. Chabakauri, Dynamic mean-variance asset allocation,, Review of Financial Studies, 23 (2010), 2970. Google Scholar |
[3] |
T. R. Bielecki, H. Jin, S. R. Pliska and X. Y. Zhou, Continuous-time mean-variance portfolio selection with bankruptcy prohibition,, Mathematical Finance, 15 (2005), 213.
doi: 10.1111/j.0960-1627.2005.00218.x. |
[4] |
T. Börk, A. Murgoci and X. Y. Zhou, Mean-variance Portfolio Optimization with State-Dependent Risk Aversion,, Mathematical Finance, 24 (2014), 1.
doi: 10.1111/j.1467-9965.2011.00515.x. |
[5] |
T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochastic control problems,, preprint., (). Google Scholar |
[6] |
J. C. Cox, J. E. Innersole and S. A. Ross, A theory of the term structure of interest rates,, Econometrica, 53 (1985), 385.
doi: 10.2307/1911242. |
[7] |
M. Dai, Z. Xu and X. Y. Zhou, Continuous-Time Markowitz's model with transaction costs,, SIAM Journal on Financial Mathematics, 1 (2010), 96.
doi: 10.1137/080742889. |
[8] |
J. B. Detemple and F. Zapatero, Asset prices in an exchange economy with habit formation,, Econometrica, 59 (1991), 1633.
doi: 10.2307/2938283. |
[9] |
S. M. Goldman, Consistent plans,, The Review of Economic Studies, 47 (1980), 533.
doi: 10.2307/2297304. |
[10] |
P. Krusell and A. A. Smith, Consumption-savings decisions with quasi-geometric discounting,, Econometrica, 71 (2003), 366.
doi: 10.1111/1468-0262.00400. |
[11] |
F. E. Kydland and E. C. Prescott, Rules rather than discretion: The inconsistency of optimal plans,, The Journal of Political Economy, 85 (1997), 473. Google Scholar |
[12] |
D. Li and W. L. Ng, Optimal dynamic portfolio selection: Multiperiod Mean-variance formulation,, Mathematical Finance, 10 (2000), 387.
doi: 10.1111/1467-9965.00100. |
[13] |
A. E. B. Lim and X. Y. Zhou, Mean-variance portfolio selection with random parameters in a complete market,, Mathematics of Operations Research, 27 (2002), 101.
doi: 10.1287/moor.27.1.101.337. |
[14] |
A. E. B. Lim, Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market,, Mathematics of Operations Research, 29 (2004), 132.
doi: 10.1287/moor.1030.0065. |
[15] |
H. Markowitz, Portfolio selection,, The journal of finance, 7 (1952), 77. Google Scholar |
[16] |
R. A. Pollak, Consistent planning,, The Review of Economic Studies, 35 (1968), 201.
doi: 10.2307/2296548. |
[17] |
B. Peleg and M. E. Yaar, On the existence of a consistent course of action when tastes are changing,, The Review of Economic Studies, 40 (1973), 391.
doi: 10.2307/2296458. |
[18] |
H. R. Richardson, A minimum variance result in continuous trading portfolio optimization,, Management Science, 35 (1989), 1045.
doi: 10.1287/mnsc.35.9.1045. |
[19] |
J. Xia, Mean-variance portfolio choice: Quadratic partial hedging,, Mathematical Finance, 15 (2005), 533.
doi: 10.1111/j.1467-9965.2005.00231.x. |
[20] |
J. E. Zhang, H. Zhao and E. C. Chang, Equilibrium asset and option pricing under jump diffusion,, Mathematical Finance, 22 (2012), 538.
doi: 10.1111/j.1467-9965.2010.00468.x. |
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