[HTML][HTML] Time-consistent asset allocation for risk measures in a Lévy market
F Fießinger, M Stadje - European Journal of Operational Research, 2025 - Elsevier
Focusing on gains & losses relative to a risk-free benchmark instead of terminal wealth, we
consider an asset allocation problem to maximize time-consistently a mean-risk reward …
consider an asset allocation problem to maximize time-consistently a mean-risk reward …
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
C Guan, X Shi, ZQ Xu - Journal of Optimization Theory and Applications, 2023 - Springer
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black–
Scholes market with different borrowing and saving rates. The associated Hamilton–Jacobi …
Scholes market with different borrowing and saving rates. The associated Hamilton–Jacobi …
The law of one price in mean-variance hedging
The law of one price (LOP) broadly asserts that identical financial flows should command the
same price. This paper uncovers a new mechanism through which LOP can fail in a …
same price. This paper uncovers a new mechanism through which LOP can fail in a …
Semi-static variance-optimal hedging with self-exciting jumps
The aim of this paper is to investigate a quadratic, ie variance-optimal, semi-static hedging
problem in an incomplete market model where the underlying log-asset price is driven by a …
problem in an incomplete market model where the underlying log-asset price is driven by a …
Estimating non-linear stochastic functions from generated structured data using multi-layer perceptron models with applications to pricing path-dependent financial …
R Briciu - Available at SSRN 5104328, 2025 - papers.ssrn.com
In this paper we will explore a proposed data generation method which will construct the
feature matrix for a multi-layer perceptron model designed to estimate the pricing functional …
feature matrix for a multi-layer perceptron model designed to estimate the pricing functional …
Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
This paper studies the continuous time mean-variance portfolio selection problem with one
kind of non-linear wealth dynamics. To deal with the expectation constraint, an auxiliary …
kind of non-linear wealth dynamics. To deal with the expectation constraint, an auxiliary …
Streamlined mean-variance analysis for multiperiod models
A Černý - bayes.city.ac.uk
The methodology is based on maximization of mean-variance utility according to Markowitz
[4], ie, the investor wishes to maximize her mean return for a given level of portfolio variance …
[4], ie, the investor wishes to maximize her mean return for a given level of portfolio variance …
[CITATION][C] Streamlined mean-variance analysis for multi-period models
JKCAU Kiel - bayes.city.ac.uk
The methodology is based on maximisation of mean-variance utility according to Markowitz
[4], ie, the investor wishes to maximise her mean return for a given level of portfolio variance …
[4], ie, the investor wishes to maximise her mean return for a given level of portfolio variance …