Shi, Yun; Li, Xun; Cui, Xiangyu Better than pre-committed optimal mean-variance policy in a jump diffusion market. (English) Zbl 1411.91529 Math. Methods Oper. Res. 85, No. 3, 327-347 (2017). MSC: 91G10 60J75 PDF BibTeX XML Cite \textit{Y. Shi} et al., Math. Methods Oper. Res. 85, No. 3, 327--347 (2017; Zbl 1411.91529) Full Text: DOI OpenURL
Huang, Xiangxiang; Huang, Yonghui Mean-variance optimality for semi-Markov decision processes under first passage criteria. (English) Zbl 1413.90303 Kybernetika 53, No. 1, 59-81 (2017). MSC: 90C40 60J27 PDF BibTeX XML Cite \textit{X. Huang} and \textit{Y. Huang}, Kybernetika 53, No. 1, 59--81 (2017; Zbl 1413.90303) Full Text: DOI Link OpenURL
Li, Gang; Chen, Zhi Ping; Liu, Jia Optimal policy for a time consistent mean-variance model with regime switching. (English) Zbl 1433.91160 IMA J. Manag. Math. 27, No. 2, 211-234 (2016). MSC: 91G10 91G80 90C39 PDF BibTeX XML Cite \textit{G. Li} et al., IMA J. Manag. Math. 27, No. 2, 211--234 (2016; Zbl 1433.91160) Full Text: DOI OpenURL
Reisinger, C.; Forsyth, P. A. Piecewise constant policy approximations to Hamilton-Jacobi-Bellman equations. (English) Zbl 1382.65256 Appl. Numer. Math. 103, 27-47 (2016). MSC: 65M06 49L20 49M25 PDF BibTeX XML Cite \textit{C. Reisinger} and \textit{P. A. Forsyth}, Appl. Numer. Math. 103, 27--47 (2016; Zbl 1382.65256) Full Text: DOI arXiv OpenURL
Chen, Zhiping; Liu, Jia; Li, Gang Time consistent policy of multi-period mean-variance. (English) Zbl 1318.91178 J. Ind. Manag. Optim. 12, No. 1, 229-249 (2016). MSC: 91G10 49N10 93E20 PDF BibTeX XML Cite \textit{Z. Chen} et al., J. Ind. Manag. Optim. 12, No. 1, 229--249 (2016; Zbl 1318.91178) Full Text: DOI OpenURL
Huang, Yonghui; Guo, Xianping Mean-variance problems for finite horizon semi-Markov decision processes. (English) Zbl 1343.93100 Appl. Math. Optim. 72, No. 2, 233-259 (2015). MSC: 93E20 93C55 49J55 49K45 90C40 49L20 90C39 90C05 PDF BibTeX XML Cite \textit{Y. Huang} and \textit{X. Guo}, Appl. Math. Optim. 72, No. 2, 233--259 (2015; Zbl 1343.93100) Full Text: DOI OpenURL
Kronborg, Morten Tolver; Steffensen, Mogens Inconsistent investment and consumption problems. (English) Zbl 1336.91069 Appl. Math. Optim. 71, No. 3, 473-515 (2015). Reviewer: Vivek S. Borkar (Mumbai) MSC: 91G10 91G80 93E20 49L20 PDF BibTeX XML Cite \textit{M. T. Kronborg} and \textit{M. Steffensen}, Appl. Math. Optim. 71, No. 3, 473--515 (2015; Zbl 1336.91069) Full Text: DOI OpenURL
Ye, Liu’er; Huang, Xiangxiang A mean-variance optimization problem for continuous-time Markov decision processes. (Chinese. English summary) Zbl 1488.90228 Sci. Sin., Math. 44, No. 8, 883-898 (2014). MSC: 90C40 60J25 PDF BibTeX XML Cite \textit{L. Ye} and \textit{X. Huang}, Sci. Sin., Math. 44, No. 8, 883--898 (2014; Zbl 1488.90228) Full Text: DOI OpenURL
Chen, Zhiping; Li, Gang; Zhao, Yonggan Time-consistent investment policies in Markovian markets: a case of mean-variance analysis. (English) Zbl 1402.91672 J. Econ. Dyn. Control 40, 293-316 (2014). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{Z. Chen} et al., J. Econ. Dyn. Control 40, 293--316 (2014; Zbl 1402.91672) Full Text: DOI OpenURL
Chen, Zhi-ping; Li, Gang; Guo, Ju-e Optimal investment policy in the time consistent mean-variance formulation. (English) Zbl 1284.91514 Insur. Math. Econ. 52, No. 2, 145-156 (2013). MSC: 91G10 91B30 91B70 90C39 PDF BibTeX XML Cite \textit{Z.-p. Chen} et al., Insur. Math. Econ. 52, No. 2, 145--156 (2013; Zbl 1284.91514) Full Text: DOI OpenURL
Guo, Wen-Jing; Cai, Jun Portfolio optimization with uncertain exit time in infinite-time horizon. (English) Zbl 1292.91162 Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 673-684 (2013). MSC: 91G10 90C39 49L20 PDF BibTeX XML Cite \textit{W.-J. Guo} and \textit{J. Cai}, Acta Math. Appl. Sin., Engl. Ser. 29, No. 4, 673--684 (2013; Zbl 1292.91162) Full Text: DOI OpenURL
Wang, J.; Forsyth, P. A. Comparison of mean variance like strategies for optimal asset allocation problems. (English) Zbl 1282.91312 Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250014, 32 p. (2012). MSC: 91G10 91G60 65N06 PDF BibTeX XML Cite \textit{J. Wang} and \textit{P. A. Forsyth}, Int. J. Theor. Appl. Finance 15, No. 2, Article ID 1250014, 32 p. (2012; Zbl 1282.91312) Full Text: DOI OpenURL
Berman, Oded; Schnabel, Jacques A. Mean-variance analysis and the single-period inventory problem. (English) Zbl 0593.90014 Int. J. Syst. Sci. 17, 1145-1151 (1986). MSC: 90B05 PDF BibTeX XML Cite \textit{O. Berman} and \textit{J. A. Schnabel}, Int. J. Syst. Sci. 17, 1145--1151 (1986; Zbl 0593.90014) Full Text: DOI OpenURL
Gleit, Alan On optimal mean-variance harvesting rules. (English) Zbl 0412.92016 Math. Biosci. 45, 179-200 (1979). MSC: 92D25 91A60 60H10 PDF BibTeX XML Cite \textit{A. Gleit}, Math. Biosci. 45, 179--200 (1979; Zbl 0412.92016) Full Text: DOI OpenURL