Time-Consistent Mean-Variance Portfolio Selection inDiscrete and Continuous Time
Year of publication: |
2010-09-14
|
---|---|
Authors: | Czichowsky, Christoph |
Institutions: | National Centre of Competence in Research - Financial Valuation and Risk Management |
Subject: | Risikomanagement | risk management | Portfoliomanagement | portfolio management | Varianz | variance principle | Konsistenz <Stochastik> | Markowitz, Harry | Markowitz problem |
Extent: | 442368 bytes 38 p. application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; G11 - Portfolio Choice ; Strategic management ; Capital budgeting, budgetary planning and budgetary control ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification |
Source: | USB Cologne (business full texts) |
-
Simplified Mean-Variance Portfolio Optimisation
Fontana, Claudio, (2011)
-
An integrated CVaR and real options approach to investments in the energy sector
Fortin, Ines, (2007)
-
Tenure choice, portfolio structure and long-term care : optimal risk management in retirement
Fehr, Hans, (2019)
- More ...
-
Cone-Constrained Continuous-Time Markowitz Problems
Czichowsky, Christoph, (2011)
-
Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
Czichowsky, Christoph, (2010)
-
Transaction Costs, Shadow Prices, and Duality in Discrete Time
Czichowsky, Christoph, (2012)
- More ...