Optimal investment policy in the time consistent mean–variance formulation

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

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

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

[4]  Larry G. Epstein,et al.  Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework , 1989 .

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

[6]  Duan Li,et al.  Safety-first dynamic portfolio selection , 1998 .

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

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

[9]  Marc C. Steinbach,et al.  Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis , 2001, SIAM Rev..

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

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

[12]  D. Bertsimas,et al.  Shortfall as a risk measure: properties, optimization and applications , 2004 .

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

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

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

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

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

[18]  Mei Yu,et al.  Multiperiod portfolio selection on a minimax rule , 2005 .

[19]  G. Pflug,et al.  Value-at-Risk in Portfolio Optimization: Properties and Computational Approach ⁄ , 2005 .

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

[21]  Hans-Jakob Lüthi,et al.  Convex risk measures for portfolio optimization and concepts of flexibility , 2005, Math. Program..

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

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

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

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

[26]  Zhiping Chen,et al.  Two-sided coherent risk measures and their application in realistic portfolio optimization , 2008 .

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

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

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

[30]  Alexander Shapiro,et al.  On a time consistency concept in risk averse multistage stochastic programming , 2009, Oper. Res. Lett..

[31]  Satoru Takahashi,et al.  Dynamic portfolio optimization with risk control for absolute deviation model , 2010, Eur. J. Oper. Res..

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

[33]  F. Fabozzi,et al.  The Theory of Portfolio Selection , 2011 .

[34]  Zhiping Chen,et al.  Nonlinearly weighted convex risk measure and its application , 2011 .

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

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