Continuous-time mean–risk portfolio selection

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

[2]  Xun Yu Zhou,et al.  Markowitz’s World in Continuous Time, and Beyond , 2003 .

[3]  Andrew E. B. Lim,et al.  Mean-Variance Portfolio Selection with Random Parameters in a Complete Market , 2002, Math. Oper. Res..

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

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

[6]  Kok Lay Teo,et al.  Portfolio Optimization Under a Minimax Rule , 2000 .

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

[8]  Phhilippe Jorion.  Value at Risk: The New Benchmark for Managing Financial Risk , 2000 .

[9]  J. Ma,et al.  Forward-Backward Stochastic Differential Equations and their Applications , 2007 .

[10]  Jaksa Cvitanic,et al.  On dynamic measures of risk , 1999, Finance Stochastics.

[11]  David N. Nawrocki.  A Brief History of Downside Risk Measures , 1999 .

[12]  X. Zhou,et al.  Stochastic Controls: Hamiltonian Systems and HJB Equations , 1999 .

[13]  Robert J. Elliott,et al.  Mathematics of Financial Markets , 1999 .

[14]  Hans Föllmer,et al.  Quantile hedging , 1999, Finance Stochastics.

[15]  S. Peng,et al.  Backward Stochastic Differential Equations in Finance , 1997 .

[16]  J. Yong,et al.  Solving forward-backward stochastic differential equations explicitly — a four step scheme , 1994 .

[17]  Martin Kulldorff,et al.  Optimal control of favorable games with a time limit , 1993 .

[18]  H. Konno,et al.  Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market , 1991 .

[19]  Stanley R. Pliska,et al.  A discrete time stochastic decision model , 1982 .

[20]  P. Fishburn.  Mean-Risk Analysis with Risk Associated with Below-Target Returns , 1977 .

[21]  R. Tyrrell Rockafellar,et al.  Convex Analysis , 1970, Princeton Landmarks in Mathematics and Physics.

[22]  A. Stuart,et al.  Portfolio Selection: Efficient Diversification of Investments , 1959 .