Optimal policy for a time consistent mean–variance model with regime switching

[1]  Evan L. Porteus,et al.  Temporal Resolution of Uncertainty and Dynamic Choice Theory , 1978 .

[2]  Catherine Doz,et al.  A Quasi–Maximum Likelihood Approach for Large, Approximate Dynamic Factor Models , 2006, Review of Economics and Statistics.

[3]  B. Roorda,et al.  COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS , 2005 .

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

[5]  Gautam Mitra,et al.  Hidden Markov models for financial optimization problems , 2010 .

[6]  Shu-zhi Wei,et al.  Multi-period optimization portfolio with bankruptcy control in stochastic market , 2007, Appl. Math. Comput..

[7]  M. Müller,et al.  An adaptive regime-switching regression model for hedge funds , 2014 .

[8]  Berend Roorda,et al.  Time Consistency Conditions for Acceptability Measures, with an Application to Tail Value at Risk , 2007 .

[9]  Martin Schneider,et al.  Recursive multiple-priors , 2003, J. Econ. Theory.

[10]  Frank Riedel,et al.  Dynamic Coherent Risk Measures , 2003 .

[11]  Gang George Yin,et al.  Markowitz's mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits , 2004, IEEE Transactions on Automatic Control.

[12]  F. Delbaen,et al.  Dynamic Monetary Risk Measures for Bounded Discrete-Time Processes , 2004, math/0410453.

[13]  David Heath,et al.  Coherent multiperiod risk adjusted values and Bellman’s principle , 2007, Ann. Oper. Res..

[14]  Andrew E. B. Lim,et al.  Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints , 2001, SIAM J. Control. Optim..

[15]  Süleyman Özekici,et al.  Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach , 2007, Eur. J. Oper. Res..

[16]  J. Wang,et al.  Continuous time mean variance asset allocation: A time-consistent strategy , 2011, Eur. J. Oper. Res..

[17]  H. Föllmer,et al.  Convex risk measures and the dynamics of their penalty functions , 2006 .

[18]  Leonard C. MacLean,et al.  A Portfolio Optimization Model with Regime-Switching Risk Factors for Sector Exchange Traded Funds , 2011 .

[19]  R. C. Merton,et al.  Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case , 1969 .

[20]  X. Zhou,et al.  CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION , 2005 .

[21]  Süleyman Özekici,et al.  HARA frontiers of optimal portfolios in stochastic markets , 2012, Eur. J. Oper. Res..

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

[23]  John M. Mulvey,et al.  An Investment Model via Regime-Switching Economic Indicators , 2010 .

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

[25]  Duan Li,et al.  BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM , 2012 .

[26]  Hailiang Yang,et al.  Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model , 2011 .

[27]  Giacomo Scandolo,et al.  Conditional and dynamic convex risk measures , 2005, Finance Stochastics.

[28]  Süleyman Özekici,et al.  Portfolio selection in stochastic markets with exponential utility functions , 2009, Ann. Oper. Res..

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

[30]  J. Ingersoll.  Theory of Financial Decision Making , 1987 .

[31]  Zhongfei Li,et al.  Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon , 2011, J. Syst. Sci. Complex..

[32]  Xin Zhang,et al.  Markovian regime-switching market completion using additional Markov jump assets , 2012 .

[33]  Shouyang Wang,et al.  Risk control over bankruptcy in dynamic portfolio selection: a generalized mean-variance formulation , 2004, IEEE Transactions on Automatic Control.

[34]  Gang George Yin,et al.  Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model , 2003, SIAM J. Control. Optim..

[35]  B. Dumas,et al.  An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs , 1991 .

[36]  Raimund M. Kovacevic.  Time consistency and information monotonicity of multiperiod acceptability functionals , 2009 .

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

[38]  S. Weber.  DISTRIBUTION‐INVARIANT RISK MEASURES, INFORMATION, AND DYNAMIC CONSISTENCY , 2006 .

[39]  X. Zhou,et al.  Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework , 2000 .

[40]  Andrzej Ruszczynski,et al.  Risk-averse dynamic programming for Markov decision processes , 2010, Math. Program..

[41]  Patrick Cheridito,et al.  Recursiveness of indifference prices and translation-invariant preferences , 2009 .

[42]  E. Fama,et al.  Common risk factors in the returns on stocks and bonds , 1993 .

[43]  Leonard Rogers,et al.  VALUATIONS AND DYNAMIC CONVEX RISK MEASURES , 2007, 0709.0232.

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

[45]  T. Koopmans.  Stationary Ordinal Utility and Impatience , 1960 .