FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2073107309> ?p ?o ?g. }

• W2073107309 endingPage "249" @default.
• W2073107309 startingPage "229" @default.
• W2073107309 abstract "Due to the non-separability of the variance operator, the optimalinvestment policy of the multi-period mean-variance model inMarkovian markets doesn't satisfy the time consistency. We propose anew weak time consistency in stochastic markets and show that thepre-commitment optimal policy satisfies the weak time consistency atany intermediate period as long as the investor's wealth is no morethan a specific threshold. When the investor's wealth exceeds thethreshold, the weak time consistency no longer holds. In this case,by modifying the pre-commitment optimal policy, we derive a wealthinterval, from which we determine a more efficient revised policy.The terminal wealth obtained under this revised policy can achievethe same mean as, but not greater variance than those of theterminal wealth obtained under the pre-commitment optimal policy; aseries of superior investment policies can be obtained depending onthe degree the investor wants the conditional variance to decrease.It is shown that, in the above revising process, a positive cashflow can be taken out of the market. Finally, an empirical exampleillustrates our theoretical results. Our results generalize existingconclusions for the multi-period mean-variance model indeterministic markets." @default.
• W2073107309 created "2016-06-24" @default.
• W2073107309 creator A5014734669 @default.
• W2073107309 creator A5033194571 @default.
• W2073107309 creator A5074942308 @default.
• W2073107309 date "2015-04-01" @default.
• W2073107309 modified "2023-10-01" @default.
• W2073107309 title "Time consistent policy of multi-period mean-variance problem in stochastic markets" @default.
• W2073107309 cites W1574786337 @default.
• W2073107309 cites W1597085409 @default.
• W2073107309 cites W1791174547 @default.
• W2073107309 cites W1946848043 @default.
• W2073107309 cites W1968250197 @default.
• W2073107309 cites W1971155245 @default.
• W2073107309 cites W1985815497 @default.
• W2073107309 cites W1988324927 @default.
• W2073107309 cites W1990195645 @default.
• W2073107309 cites W1997933673 @default.
• W2073107309 cites W2001009060 @default.
• W2073107309 cites W2001697694 @default.
• W2073107309 cites W2002788332 @default.
• W2073107309 cites W2016864253 @default.
• W2073107309 cites W2056981121 @default.
• W2073107309 cites W2063796234 @default.
• W2073107309 cites W2065030872 @default.
• W2073107309 cites W2069326331 @default.
• W2073107309 cites W2081078325 @default.
• W2073107309 cites W2084931349 @default.
• W2073107309 cites W2091519802 @default.
• W2073107309 cites W2096332174 @default.
• W2073107309 cites W2098799539 @default.
• W2073107309 cites W2104405260 @default.
• W2073107309 cites W2112426182 @default.
• W2073107309 cites W2112492110 @default.
• W2073107309 cites W2117918035 @default.
• W2073107309 cites W2132621139 @default.
• W2073107309 cites W2135443944 @default.
• W2073107309 cites W2161903344 @default.
• W2073107309 cites W2164472231 @default.
• W2073107309 cites W2164522554 @default.
• W2073107309 cites W2166134957 @default.
• W2073107309 cites W299346747 @default.
• W2073107309 cites W3124854273 @default.
• W2073107309 cites W3125094392 @default.
• W2073107309 doi "https://doi.org/10.3934/jimo.2016.12.229" @default.
• W2073107309 hasPublicationYear "2015" @default.
• W2073107309 type Work @default.
• W2073107309 sameAs 2073107309 @default.
• W2073107309 citedByCount "4" @default.
• W2073107309 countsByYear W20731073092016 @default.
• W2073107309 countsByYear W20731073092017 @default.
• W2073107309 countsByYear W20731073092018 @default.
• W2073107309 crossrefType "journal-article" @default.
• W2073107309 hasAuthorship W2073107309A5014734669 @default.
• W2073107309 hasAuthorship W2073107309A5033194571 @default.
• W2073107309 hasAuthorship W2073107309A5074942308 @default.
• W2073107309 hasBestOaLocation W20731073091 @default.
• W2073107309 hasConcept C10138342 @default.
• W2073107309 hasConcept C106159729 @default.
• W2073107309 hasConcept C11534374 @default.
• W2073107309 hasConcept C121332964 @default.
• W2073107309 hasConcept C121955636 @default.
• W2073107309 hasConcept C127729010 @default.
• W2073107309 hasConcept C149782125 @default.
• W2073107309 hasConcept C162324750 @default.
• W2073107309 hasConcept C163428354 @default.
• W2073107309 hasConcept C175444787 @default.
• W2073107309 hasConcept C17744445 @default.
• W2073107309 hasConcept C186215838 @default.
• W2073107309 hasConcept C196083921 @default.
• W2073107309 hasConcept C199539241 @default.
• W2073107309 hasConcept C21430997 @default.
• W2073107309 hasConcept C23922673 @default.
• W2073107309 hasConcept C24890656 @default.
• W2073107309 hasConcept C2524010 @default.
• W2073107309 hasConcept C27548731 @default.
• W2073107309 hasConcept C2776436953 @default.
• W2073107309 hasConcept C2781291010 @default.
• W2073107309 hasConcept C33923547 @default.
• W2073107309 hasConcept C91602232 @default.
• W2073107309 hasConcept C94625758 @default.
• W2073107309 hasConceptScore W2073107309C10138342 @default.
• W2073107309 hasConceptScore W2073107309C106159729 @default.
• W2073107309 hasConceptScore W2073107309C11534374 @default.
• W2073107309 hasConceptScore W2073107309C121332964 @default.
• W2073107309 hasConceptScore W2073107309C121955636 @default.
• W2073107309 hasConceptScore W2073107309C127729010 @default.
• W2073107309 hasConceptScore W2073107309C149782125 @default.
• W2073107309 hasConceptScore W2073107309C162324750 @default.
• W2073107309 hasConceptScore W2073107309C163428354 @default.
• W2073107309 hasConceptScore W2073107309C175444787 @default.
• W2073107309 hasConceptScore W2073107309C17744445 @default.
• W2073107309 hasConceptScore W2073107309C186215838 @default.
• W2073107309 hasConceptScore W2073107309C196083921 @default.
• W2073107309 hasConceptScore W2073107309C199539241 @default.
• W2073107309 hasConceptScore W2073107309C21430997 @default.
• W2073107309 hasConceptScore W2073107309C23922673 @default.
• W2073107309 hasConceptScore W2073107309C24890656 @default.

• next