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Volumn 2006, Issue , 2006, Pages

Delegated dynamic portfolio management under mean-variance preferences

(1)  Cetin, Coskun a  

a NONE

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EID: 33749491648     PISSN: 11739126     EISSN: 15327612     Source Type: Journal    
DOI: 10.1155/JAMDS/2006/61895     Document Type: Article
Times cited : (2)

References (14)
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    • 17444409678 scopus 로고    scopus 로고
    • Continuous-time mean-variance portfolio selection with bankruptcy prohibition
    • T. R. Bielecki H. Jin S. R. Pliska X. Y. Zhou Continuous-time mean-variance portfolio selection with bankruptcy prohibition Mathematical Finance 15 2005 2 213-244
    • (2005) Mathematical Finance , vol.15 , Issue.2 , pp. 213-244
    • Bielecki, T.R.1    Jin, H.2    Pliska, S.R.3    Zhou, X.Y.4
  • 2
    • 33749499834 scopus 로고    scopus 로고
    • Backward stochastic differential equations with quadratic growth and their applications
    • Ph.D. Dissertation
    • C. Cetin Backward stochastic differential equations with quadratic growth and their applications University of Southern California California 2005 Ph.D. Dissertation http://web.whittier.edu/ccetin
    • (2005)
    • Cetin, C.1
  • 6
    • 33749500719 scopus 로고    scopus 로고
    • Mutual fund portfolio choice in the presence of dynamic flows
    • preprint
    • J. Hugonnier R. Kaniel Mutual fund portfolio choice in the presence of dynamic flows preprint, 2006 http://faculty.fuqua.duke.edu/~rkaniel/ webpage/
    • Hugonnier, J.1    Kaniel, R.2
  • 8
    • 0004171561 scopus 로고    scopus 로고
    • Brownian Motion and Stochastic Calculus
    • Springer New York
    • I. Karatzas S. E. Shreve Brownian Motion and Stochastic Calculus Springer New York 1999
    • (1999)
    • Karatzas, I.1    Shreve, S.E.2
  • 9
    • 0036403910 scopus 로고    scopus 로고
    • Dynamic mean-variance portfolio selection with no-shorting constraints
    • X. Li X. Y. Zhou A. E. B. Lim Dynamic mean-variance portfolio selection with no-shorting constraints SIAM Journal on Control and Optimization 40 2002 5 1540-1555
    • (2002) SIAM Journal on Control and Optimization , vol.40 , Issue.5 , pp. 1540-1555
    • Li, X.1    Zhou, X.Y.2    Lim, A.E.B.3
  • 10
    • 4043065614 scopus 로고    scopus 로고
    • Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market
    • A. E. B. Lim Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market Mathematics of Operations Research 29 2004 1 132-161
    • (2004) Mathematics of Operations Research , vol.29 , Issue.1 , pp. 132-161
    • Lim, A.E.B.1
  • 12
    • 0003936044 scopus 로고    scopus 로고
    • An Introduction to Malliavin Calculus with Applications to Economics
    • Norwegian School of Economics and Business Administration Norway
    • B. Øksendal An Introduction to Malliavin Calculus with Applications to Economics Lecture Notes Norwegian School of Economics and Business Administration Norway 1997
    • (1997) Lecture Notes
    • Øksendal, B.1
  • 13
    • 0037270159 scopus 로고    scopus 로고
    • Optimal contracts in a continuous-time delegated portfolio management problem
    • H. Ou-Yang Optimal contracts in a continuous-time delegated portfolio management problem The Review of Financial Studies 16 2003 1 173-208
    • (2003) The Review of Financial Studies , vol.16 , Issue.1 , pp. 173-208
    • Ou-Yang, H.1
  • 14
    • 0030869799 scopus 로고    scopus 로고
    • Stochastic verification theorems within the framework of viscosity solutions
    • X. Y. Zhou J. Yong X. Li Stochastic verification theorems within the framework of viscosity solutions SIAM Journal on Control and Optimization 35 1997 1 243-253
    • (1997) SIAM Journal on Control and Optimization , vol.35 , Issue.1 , pp. 243-253
    • Zhou, X.Y.1    Yong, J.2    Li, X.3


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