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Yong, Jiongmin; Zhou, Xun Yu Stochastic controls. Hamiltonian systems and HJB equations. (English) Zbl 0943.93002 Applications of Mathematics. 43. New York, NY: Springer. xx, 438 p. (1999). Reviewer: A.Akutowicz (Berlin) MSC: 93-02 93E20 49L25 91G80 49L20 49N10 49J55 49K45 60G35 60H10 PDFBibTeX XMLCite \textit{J. Yong} and \textit{X. Y. Zhou}, Stochastic controls. Hamiltonian systems and HJB equations. New York, NY: Springer (1999; Zbl 0943.93002)
Yaari, Menahem E. The dual theory of choice under risk. (English) Zbl 0616.90005 Econometrica 55, 95-115 (1987). Reviewer: C.Weddepohl MSC: 91B16 91G10 PDFBibTeX XMLCite \textit{M. E. Yaari}, Econometrica 55, 95--115 (1987; Zbl 0616.90005) Full Text: DOI Link
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Föllmer, Hans; Schied, Alexander Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. (English) Zbl 1126.91028 de Gruyter Studies in Mathematics 27. Berlin: de Gruyter (ISBN 3-11-018346-3/hbk). xi, 459 p. (2004). MSC: 91Gxx 91-02 60-02 91G10 91G80 60G40 60G42 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{A. Schied}, Stochastic finance. An introduction in discrete time. 2nd revised and extended ed. Berlin: de Gruyter (2004; Zbl 1126.91028)
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Li, Duan; Ng, Wan-Lung Optimal dynamic portfolio selection: multiperiod mean-variance formulation. (English) Zbl 0997.91027 Math. Finance 10, No. 3, 387-406 (2000). Reviewer: Martin Schweizer (München) MSC: 91G10 49N10 93E24 90C39 PDFBibTeX XMLCite \textit{D. Li} and \textit{W.-L. Ng}, Math. Finance 10, No. 3, 387--406 (2000; Zbl 0997.91027) Full Text: DOI
Cox, John C.; Huang, Chi-fu Optimal consumption and portfolio policies when asset prices follow a diffusion process. (English) Zbl 0678.90011 J. Econ. Theory 49, No. 1, 33-83 (1989). MSC: 91G10 49L20 60J60 90C39 PDFBibTeX XMLCite \textit{J. C. Cox} and \textit{C.-f. Huang}, J. Econ. Theory 49, No. 1, 33--83 (1989; Zbl 0678.90011) Full Text: DOI Link
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McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul Quantitative risk management. Concepts, techniques and tools. Revised edition. (English) Zbl 1337.91003 Princeton, NJ: Princeton University Press (ISBN 978-0-691-16627-8/hbk). xix, 699 p. (2015). MSC: 91-01 91G70 91B30 91B84 91G20 91G40 91G10 62-01 62P05 62P20 60G70 62M10 62H05 PDFBibTeX XMLCite \textit{A. J. McNeil} et al., Quantitative risk management. Concepts, techniques and tools. Revised edition. Princeton, NJ: Princeton University Press (2015; Zbl 1337.91003)
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Björk, Tomas; Murgoci, Agatha; Zhou, Xun Yu Mean-variance portfolio optimization with state-dependent risk aversion. (English) Zbl 1285.91116 Math. Finance 24, No. 1, 1-24 (2014). MSC: 91G10 90C39 91A40 PDFBibTeX XMLCite \textit{T. Björk} et al., Math. Finance 24, No. 1, 1--24 (2014; Zbl 1285.91116) Full Text: DOI Link
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El Ghaoui, Laurent; Oks, Maksim; Oustry, Francois Worst-case value-at-risk and robust portfolio optimization: A conic programming approach. (English) Zbl 1165.91397 Oper. Res. 51, No. 4, 543-556 (2003). MSC: 91G10 90C15 PDFBibTeX XMLCite \textit{L. El Ghaoui} et al., Oper. Res. 51, No. 4, 543--556 (2003; Zbl 1165.91397) Full Text: DOI Link
Zhou, Xun Yu; Yin, G. Markowitz’s mean-variance portfolio selection with regime switching: A continuous-time model. (English) Zbl 1175.91169 SIAM J. Control Optim. 42, No. 4, 1466-1482 (2003). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{X. Y. Zhou} and \textit{G. Yin}, SIAM J. Control Optim. 42, No. 4, 1466--1482 (2003; Zbl 1175.91169) Full Text: DOI
Goldfarb, D.; Iyengar, G. Robust portfolio selection problems. (English) Zbl 1082.90082 Math. Oper. Res. 28, No. 1, 1-38 (2003). MSC: 91G10 90C20 90C22 PDFBibTeX XMLCite \textit{D. Goldfarb} and \textit{G. Iyengar}, Math. Oper. Res. 28, No. 1, 1--38 (2003; Zbl 1082.90082) Full Text: DOI Link
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Tsay, Ruey S. Analysis of financial time series. 2nd ed. (English) Zbl 1086.91054 Wiley Series in Probability and Statistics. Hoboken, NJ: John Wiley & Sons (ISBN 0-471-69074-0/hbk; 978-0-471-74619-5/ebook). xxi, 605 p. (2005). Reviewer: Krzysztof Piasecki (Poznań) MSC: 91B84 91B28 91-01 62M10 91B26 91B30 PDFBibTeX XMLCite \textit{R. S. Tsay}, Analysis of financial time series. 2nd ed. Hoboken, NJ: John Wiley \& Sons (2005; Zbl 1086.91054) Full Text: DOI
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Kutz, J. Nathan; Brunton, Steven L.; Brunton, Bingni W.; Proctor, Joshua L. Dynamic mode decomposition. Data-driven modeling of complex systems. (English) Zbl 1365.65009 Other Titles in Applied Mathematics 149. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (ISBN 978-1-61197-449-2/pbk). xvi, 234 p. (2016). Reviewer: Seenith Sivasundaram (Daytona Beach) MSC: 65C20 65K10 65-02 65P99 37M99 37N99 47A70 93B07 93B30 92D30 92C20 91G10 65Z05 65T60 PDFBibTeX XMLCite \textit{J. N. Kutz} et al., Dynamic mode decomposition. Data-driven modeling of complex systems. Philadelphia, PA: Society for Industrial and Applied Mathematics (SIAM) (2016; Zbl 1365.65009)
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Björk, Tomas; Khapko, Mariana; Murgoci, Agatha On time-inconsistent stochastic control in continuous time. (English) Zbl 1360.49013 Finance Stoch. 21, No. 2, 331-360 (2017). MSC: 49K45 49L20 49L99 49N90 93E20 60J70 91A10 91A25 91B51 91G10 91G80 PDFBibTeX XMLCite \textit{T. Björk} et al., Finance Stoch. 21, No. 2, 331--360 (2017; Zbl 1360.49013) Full Text: DOI arXiv
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Ogryczak, Włodzimierz; Ruszczyński, Andrzej From stochastic dominance to mean-risk models: Semideviations as risk measures. (English) Zbl 1007.91513 Eur. J. Oper. Res. 116, No. 1, 33-50 (1999). MSC: 91B30 91B28 PDFBibTeX XMLCite \textit{W. Ogryczak} and \textit{A. Ruszczyński}, Eur. J. Oper. Res. 116, No. 1, 33--50 (1999; Zbl 1007.91513) Full Text: DOI
Föllmer, Hans; Schied, Alexander Stochastic finance. An introduction in discrete time. 4th revised edition. (English) Zbl 1343.91001 de Gruyter Textbook. Berlin: de Gruyter (ISBN 978-3-11-046344-6/pbk; 978-3-11-046345-3/ebook). xii, 596 p. (2016). MSC: 91-01 91G20 91B30 91G10 91G80 60G40 60G42 60H30 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{A. Schied}, Stochastic finance. An introduction in discrete time. 4th revised edition. Berlin: de Gruyter (2016; Zbl 1343.91001) Full Text: DOI
Zhu, Shushang; Fukushima, Masao Worst-case conditional value-at-risk with application to robust portfolio management. (English) Zbl 1233.91254 Oper. Res. 57, No. 5, 1155-1168 (2009). MSC: 91G10 91B30 PDFBibTeX XMLCite \textit{S. Zhu} and \textit{M. Fukushima}, Oper. Res. 57, No. 5, 1155--1168 (2009; Zbl 1233.91254) Full Text: DOI
Karatzas, Ioannis; Kardaras, Constantinos The numéraire portfolio in semimartingale financial models. (English) Zbl 1144.91019 Finance Stoch. 11, No. 4, 447-493 (2007). Reviewer: Yuliya Mishura (Kyïv) MSC: 91G10 60H05 60H30 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{C. Kardaras}, Finance Stoch. 11, No. 4, 447--493 (2007; Zbl 1144.91019) Full Text: DOI arXiv
Pliska, Stanley R. A stochastic calculus model of continuous trading: optimal portfolios. (English) Zbl 1011.91503 Math. Oper. Res. 11, 371-382 (1986). MSC: 91G10 60H30 PDFBibTeX XMLCite \textit{S. R. Pliska}, Math. Oper. Res. 11, 371--382 (1986; Zbl 1011.91503) Full Text: DOI Link
Inuiguchi, Masahiro; Ramík, Jaroslav Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem. (English) Zbl 0938.90074 Fuzzy Sets Syst. 111, No. 1, 3-28 (2000). MSC: 90C70 90C15 91G10 PDFBibTeX XMLCite \textit{M. Inuiguchi} and \textit{J. Ramík}, Fuzzy Sets Syst. 111, No. 1, 3--28 (2000; Zbl 0938.90074) Full Text: DOI
Bielecki, Tomasz; Jin, Hanqing; Pliska, Stanley R.; Zhou, Xun Yu Continuous-time mean-variance portfolio selection with bankruptcy prohibition. (English) Zbl 1153.91466 Math. Finance 15, No. 2, 213-244 (2005). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{T. Bielecki} et al., Math. Finance 15, No. 2, 213--244 (2005; Zbl 1153.91466) Full Text: DOI
Delbaen, Freddy; Grandits, Peter; Rheinländer, Thorsten; Samperi, Dominick; Schweizer, Martin; Stricker, Christophe Exponential hedging and entropic penalties. (English) Zbl 1072.91019 Math. Finance 12, No. 2, 99-123 (2002). MSC: 91G10 60G46 PDFBibTeX XMLCite \textit{F. Delbaen} et al., Math. Finance 12, No. 2, 99--123 (2002; Zbl 1072.91019) Full Text: DOI
Chang, T.-J.; Meade, N.; Beasley, J. E.; Sharaiha, Y. M. Heuristics for cardinality constrained portfolio optimization. (English) Zbl 1032.91074 Comput. Oper. Res. 27, No. 13, 1271-1302 (2000). MSC: 91G10 90C59 90B50 65K05 PDFBibTeX XMLCite \textit{T. J. Chang} et al., Comput. Oper. Res. 27, No. 13, 1271--1302 (2000; Zbl 1032.91074) Full Text: DOI
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Föllmer, Hans; Schied, Alexander Stochastic finance. An introduction in discrete time. (English) Zbl 1125.91053 de Gruyter Studies in Mathematics 27. Berlin: de Gruyter (ISBN 3-11-017119-8/hbk). ix, 422 p. (2002). MSC: 91Gxx 91-02 60-02 91B30 91G10 91G80 60G40 60G42 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{A. Schied}, Stochastic finance. An introduction in discrete time. Berlin: de Gruyter (2002; Zbl 1125.91053)
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Hu, Shouchuan; Papageorgiou, Nikolas S. Handbook of multivalued analysis. Volume II: Applications. (English) Zbl 0943.47037 Mathematics and its Applications (Dordrecht). 500. Dordrecht: Kluwer Academic Publishers. xi, 926 p. (2000). Reviewer: P.Zabreiko (Minsk) MSC: 47H04 47-02 00A20 47-00 60G46 47H06 47H11 47H40 47H05 47H10 47J30 47J20 91A15 91B62 PDFBibTeX XMLCite \textit{S. Hu} and \textit{N. S. Papageorgiou}, Handbook of multivalued analysis. Volume II: Applications. Dordrecht: Kluwer Academic Publishers (2000; Zbl 0943.47037)
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Cheridito, Patrick Arbitrage in fractional Brownian motion models. (English) Zbl 1035.60036 Finance Stoch. 7, No. 4, 533-553 (2003). Reviewer: Yuliya Mishura (Kyïv) MSC: 60G15 60G22 60K30 91G10 91B24 PDFBibTeX XMLCite \textit{P. Cheridito}, Finance Stoch. 7, No. 4, 533--553 (2003; Zbl 1035.60036) Full Text: DOI
Wüthrich, Mario V.; Merz, Michael Stochastic claims reserving methods in insurance. (English) Zbl 1273.91011 Wiley Finance Series. Hoboken, NJ: John Wiley & Sons (ISBN 978-0-470-72346-3/hbk). xii, 424 p. (2008). MSC: 91-02 91B30 91B70 91G10 PDFBibTeX XMLCite \textit{M. V. Wüthrich} and \textit{M. Merz}, Stochastic claims reserving methods in insurance. Hoboken, NJ: John Wiley \& Sons (2008; Zbl 1273.91011)
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Shafer, Glenn; Vovk, Vladimir Probability and finance. It’s only a game! (English) Zbl 0985.91024 Wiley Series in Probability and Statistics. Chichester: Wiley. xi, 414 pp. (2001). Reviewer: Ulrich Horst (Berlin) MSC: 91G10 60F15 91A80 91-02 60A05 PDFBibTeX XMLCite \textit{G. Shafer} and \textit{V. Vovk}, Probability and finance. It's only a game!. Chichester: Wiley (2001; Zbl 0985.91024) Full Text: DOI
Jin, Hanqing; Zhou, Xun Yu Behavioral portfolio selection in continuous time. (English) Zbl 1141.91454 Math. Finance 18, No. 3, 385-426 (2008); corrections ibid. 20, No. 3, 521-525 (2010). MSC: 91G10 PDFBibTeX XMLCite \textit{H. Jin} and \textit{X. Y. Zhou}, Math. Finance 18, No. 3, 385--426 (2008; Zbl 1141.91454) Full Text: DOI arXiv
Fernholz, E. Robert Stochastic portfolio theory. (English) Zbl 1049.91067 Applications of Mathematics 48. New York, NY: Springer (ISBN 0-387-95405-8). xiv, 177 p. (2002). Reviewer: Martin Schweizer (Zürich) MSC: 91B28 91-01 60-01 91B70 60G44 60H99 PDFBibTeX XMLCite \textit{E. R. Fernholz}, Stochastic portfolio theory. New York, NY: Springer (2002; Zbl 1049.91067)
Dolinsky, Yan; Soner, H. Mete Martingale optimal transport and robust hedging in continuous time. (English) Zbl 1305.91215 Probab. Theory Relat. Fields 160, No. 1-2, 391-427 (2014). Reviewer: Pavel Stoynov (Sofia) MSC: 91G10 60G44 PDFBibTeX XMLCite \textit{Y. Dolinsky} and \textit{H. M. Soner}, Probab. Theory Relat. Fields 160, No. 1--2, 391--427 (2014; Zbl 1305.91215) Full Text: DOI arXiv Link
Alfonsi, Aurélien; Fruth, Antje; Schied, Alexander Optimal execution strategies in limit order books with general shape functions. (English) Zbl 1185.91199 Quant. Finance 10, No. 2, 143-157 (2010). Reviewer: Nikolaos Halidias (Athens) MSC: 91G99 91G10 PDFBibTeX XMLCite \textit{A. Alfonsi} et al., Quant. Finance 10, No. 2, 143--157 (2010; Zbl 1185.91199) Full Text: DOI arXiv
Duffie, Darrell; Richardson, Henry R. Mean-variance hedging in continuous time. (English) Zbl 0735.90021 Ann. Appl. Probab. 1, No. 1, 1-15 (1991). MSC: 91G10 PDFBibTeX XMLCite \textit{D. Duffie} and \textit{H. R. Richardson}, Ann. Appl. Probab. 1, No. 1, 1--15 (1991; Zbl 0735.90021) Full Text: DOI
Lakner, Peter Optimal trading strategy for an investor: the case of partial information. (English) Zbl 0934.91021 Stochastic Processes Appl. 76, No. 1, 77-97 (1998). Reviewer: J.Dupačová (Praha) MSC: 91G10 60H30 91B16 PDFBibTeX XMLCite \textit{P. Lakner}, Stochastic Processes Appl. 76, No. 1, 77--97 (1998; Zbl 0934.91021) Full Text: DOI
Henderson, Vicky Valuation of claims on nontraded assets using utility maximization. (English) Zbl 1049.91072 Math. Finance 12, No. 4, 351-373 (2002). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91G20 91G10 PDFBibTeX XMLCite \textit{V. Henderson}, Math. Finance 12, No. 4, 351--373 (2002; Zbl 1049.91072) Full Text: DOI
Kramkov, D.; Schachermayer, W. Necessary and sufficient conditions in the problem of optimal investment in incomplete markets. (English) Zbl 1091.91036 Ann. Appl. Probab. 13, No. 4, 1504-1516 (2003). MSC: 91G10 60G48 PDFBibTeX XMLCite \textit{D. Kramkov} and \textit{W. Schachermayer}, Ann. Appl. Probab. 13, No. 4, 1504--1516 (2003; Zbl 1091.91036) Full Text: DOI Euclid
Pflug, Georg; Wozabal, David Ambiguity in portfolio selection. (English) Zbl 1190.91138 Quant. Finance 7, No. 4, 435-442 (2007). MSC: 91G10 93E20 PDFBibTeX XMLCite \textit{G. Pflug} and \textit{D. Wozabal}, Quant. Finance 7, No. 4, 435--442 (2007; Zbl 1190.91138) Full Text: DOI
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (English) Zbl 1284.91250 Insur. Math. Econ. 51, No. 1, 191-203 (2012). MSC: 91B30 91G10 91B70 60H30 93E20 PDFBibTeX XMLCite \textit{Z. Li} et al., Insur. Math. Econ. 51, No. 1, 191--203 (2012; Zbl 1284.91250) Full Text: DOI
Bank, Peter; Baum, Dietmar Hedging and portfolio optimization in financial markets with a large trader. (English) Zbl 1119.91040 Math. Finance 14, No. 1, 1-18 (2004). Reviewer: Gabriel Talmain (Glasgow) MSC: 91G10 60G48 91B62 91B26 PDFBibTeX XMLCite \textit{P. Bank} and \textit{D. Baum}, Math. Finance 14, No. 1, 1--18 (2004; Zbl 1119.91040) Full Text: DOI
Perold, André F. Large-scale portfolio optimization. (English) Zbl 0548.90008 Manage. Sci. 30, 1143-1160 (1984). MSC: 91G10 90C90 90C06 90B50 65K05 PDFBibTeX XMLCite \textit{A. F. Perold}, Manage. Sci. 30, 1143--1160 (1984; Zbl 0548.90008) Full Text: DOI Link
Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J. 60 years of portfolio optimization: practical challenges and current trends. (English) Zbl 1304.91200 Eur. J. Oper. Res. 234, No. 2, 356-371 (2014). MSC: 91G10 91-02 91-03 01A60 PDFBibTeX XMLCite \textit{P. N. Kolm} et al., Eur. J. Oper. Res. 234, No. 2, 356--371 (2014; Zbl 1304.91200) Full Text: DOI
Cairns, Andrew J. G.; Blake, David; Dowd, Kevin Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. (English) Zbl 1200.91297 J. Econ. Dyn. Control 30, No. 5, 843-877 (2006). MSC: 91G50 93E20 91B30 91G10 PDFBibTeX XMLCite \textit{A. J. G. Cairns} et al., J. Econ. Dyn. Control 30, No. 5, 843--877 (2006; Zbl 1200.91297) Full Text: DOI Link
Schachermayer, Walter Optimal investment in incomplete markets when wealth may become negative. (English) Zbl 1049.91085 Ann. Appl. Probab. 11, No. 3, 694-734 (2001). Reviewer: Gong Guanglu (Beijing) MSC: 91G10 60-02 49N90 60G48 PDFBibTeX XMLCite \textit{W. Schachermayer}, Ann. Appl. Probab. 11, No. 3, 694--734 (2001; Zbl 1049.91085) Full Text: DOI
Campbell, John Y.; Viceira, Luis M. Consumption and portfolio decisions when expected returns are time varying. (English) Zbl 0933.91021 Q. J. Econ. 114, No. 2, 433-495 (1999). MSC: 91G10 PDFBibTeX XMLCite \textit{J. Y. Campbell} and \textit{L. M. Viceira}, Q. J. Econ. 114, No. 2, 433--495 (1999; Zbl 0933.91021) Full Text: DOI Link
Brigo, Damiano; Mercurio, Fabio Interest rate models – theory and practice. (English) Zbl 1038.91040 Springer Finance. Berlin: Springer (ISBN 3-540-41772-9). xxxviii, 518 p. (2001). Reviewer: José Lúis Fernandez Perez (Madrid) MSC: 91G30 91G10 91-01 91B26 PDFBibTeX XMLCite \textit{D. Brigo} and \textit{F. Mercurio}, Interest rate models -- theory and practice. Berlin: Springer (2001; Zbl 1038.91040)
Ben Abdelaziz, Fouad; Aouni, Belaid; El Fayedh, Rimeh Multi-objective stochastic programming for portfolio selection. (English) Zbl 1102.90054 Eur. J. Oper. Res. 177, No. 3, 1811-1823 (2007). MSC: 90C29 90C15 91G10 PDFBibTeX XMLCite \textit{F. Ben Abdelaziz} et al., Eur. J. Oper. Res. 177, No. 3, 1811--1823 (2007; Zbl 1102.90054) Full Text: DOI
Boyarchenko, Svetlana I.; Levendorskij, Sergei Z. Option pricing for truncated Lévy processes. (English) Zbl 0973.91037 Int. J. Theor. Appl. Finance 3, No. 3, 549-552 (2000). MSC: 91G20 91B30 PDFBibTeX XMLCite \textit{S. I. Boyarchenko} and \textit{S. Z. Levendorskij}, Int. J. Theor. Appl. Finance 3, No. 3, 549--552 (2000; Zbl 0973.91037) Full Text: DOI
Carlsson, Christer; Fullér, Robert; Majlender, Péter A possibilistic approach to selecting portfolios with highest utility score. (English) Zbl 1027.91038 Fuzzy Sets Syst. 131, No. 1, 13-21 (2002). MSC: 91G10 PDFBibTeX XMLCite \textit{C. Carlsson} et al., Fuzzy Sets Syst. 131, No. 1, 13--21 (2002; Zbl 1027.91038) Full Text: DOI
Diebold, Francis X.; Yılmaz, Kamil On the network topology of variance decompositions: measuring the connectedness of financial firms. (English) Zbl 1311.91196 J. Econom. 182, No. 1, 119-134 (2014). MSC: 91G70 91B82 62P20 91G10 91G40 PDFBibTeX XMLCite \textit{F. X. Diebold} and \textit{K. Yılmaz}, J. Econom. 182, No. 1, 119--134 (2014; Zbl 1311.91196) Full Text: DOI Link
Karatzas, Ioannis; Wang, Hui Utility maximization with discretionary stopping. (English) Zbl 0963.93079 SIAM J. Control Optimization 39, No. 1, 306-329 (2000). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 93E20 91B16 91G10 60G40 49N15 PDFBibTeX XMLCite \textit{I. Karatzas} and \textit{H. Wang}, SIAM J. Control Optim. 39, No. 1, 306--329 (2000; Zbl 0963.93079) Full Text: DOI
Grossman, Sanford J.; Zhou, Zhongquan Optimal investment strategies for controlling drawdowns. (English) Zbl 0884.90031 Math. Finance 3, No. 3, 241-276 (1993). MSC: 91G10 PDFBibTeX XMLCite \textit{S. J. Grossman} and \textit{Z. Zhou}, Math. Finance 3, No. 3, 241--276 (1993; Zbl 0884.90031) Full Text: DOI
Young, Martin R. A minimax portfolio selection rule with linear programming solution. (English) Zbl 0999.91043 Manage. Sci. 44, No. 5, 673-683 (1998). MSC: 91G10 91B16 90C47 90C05 PDFBibTeX XMLCite \textit{M. R. Young}, Manage. Sci. 44, No. 5, 673--683 (1998; Zbl 0999.91043) Full Text: DOI Link
Bertsimas, Dimitris; Shioda, Romy Algorithm for cardinality-constrained quadratic optimization. (English) Zbl 1178.90262 Comput. Optim. Appl. 43, No. 1, 1-22 (2009). MSC: 90C20 91G10 PDFBibTeX XMLCite \textit{D. Bertsimas} and \textit{R. Shioda}, Comput. Optim. Appl. 43, No. 1, 1--22 (2009; Zbl 1178.90262) Full Text: DOI
Platen, Eckhard; Heath, David A benchmark approach to quantitative finance. (English) Zbl 1104.91041 Springer-Finance. Berlin: Springer (ISBN 3-540-26212-1/hbk). xvi, 700 p. (2006). Reviewer: Klaus Ehemann (Karlsruhe) MSC: 91-01 91Gxx 91B24 60H30 91G10 91G20 91G60 PDFBibTeX XMLCite \textit{E. Platen} and \textit{D. Heath}, A benchmark approach to quantitative finance. Berlin: Springer (2006; Zbl 1104.91041)
Mansini, Renata; Ogryczak, Włodzimierz; Speranza, M. Grazia Conditional value at risk and related linear programming models for portfolio optimization. (English) Zbl 1132.91497 Ann. Oper. Res. 152, 227-256 (2007). MSC: 91G70 91G10 90C90 PDFBibTeX XMLCite \textit{R. Mansini} et al., Ann. Oper. Res. 152, 227--256 (2007; Zbl 1132.91497) Full Text: DOI
Ocone, Daniel L.; Karatzas, Ioannis A generalized Clark representation formula, with application to optimal portfolios. (English) Zbl 0727.60070 Stochastics Stochastics Rep. 34, No. 3-4, 187-220 (1991). Reviewer: H.-M.Dietz (Eichwalde) MSC: 60H30 91G10 PDFBibTeX XMLCite \textit{D. L. Ocone} and \textit{I. Karatzas}, Stochastics Stochastics Rep. 34, No. 3--4, 187--220 (1991; Zbl 0727.60070) Full Text: DOI
Pikovsky, Igor; Karatzas, Ioannis Anticipative portfolio optimization. (English) Zbl 0867.90013 Adv. Appl. Probab. 28, No. 4, 1095-1122 (1996). MSC: 91G10 93E20 60H30 60G44 91B38 91B44 PDFBibTeX XMLCite \textit{I. Pikovsky} and \textit{I. Karatzas}, Adv. Appl. Probab. 28, No. 4, 1095--1122 (1996; Zbl 0867.90013) Full Text: DOI
Föllmer, H.; Kramkov, D. Optional decompositions under constraints. (English) Zbl 0882.60063 Probab. Theory Relat. Fields 109, No. 1, 1-25 (1997). MSC: 60H30 60H05 60G44 91G10 93E20 PDFBibTeX XMLCite \textit{H. Föllmer} and \textit{D. Kramkov}, Probab. Theory Relat. Fields 109, No. 1, 1--25 (1997; Zbl 0882.60063) Full Text: DOI Link
Steinbach, Marc C. Markowitz revisited: mean-variance models in financial portfolio analysis. (English) Zbl 1049.91086 SIAM Rev. 43, No. 1, 31-85 (2001). Reviewer: Martin Schweizer (Zürich) MSC: 91G10 90C15 90C20 PDFBibTeX XMLCite \textit{M. C. Steinbach}, SIAM Rev. 43, No. 1, 31--85 (2001; Zbl 1049.91086) Full Text: DOI
Fabozzi, Frank J.; Huang, Dashan; Zhou, Guofu Robust portfolios: contributions from operations research and finance. (English) Zbl 1233.91243 Ann. Oper. Res. 176, 191-220 (2010). MSC: 91G10 91B30 90B50 62P05 PDFBibTeX XMLCite \textit{F. J. Fabozzi} et al., Ann. Oper. Res. 176, 191--220 (2010; Zbl 1233.91243) Full Text: DOI
Ekeland, Ivar; Mbodji, Oumar; Pirvu, Traian A. Time-consistent portfolio management. (English) Zbl 1257.91040 SIAM J. Financ. Math. 3, 1-32 (2012). MSC: 91G10 60G35 60H20 91B16 91B70 PDFBibTeX XMLCite \textit{I. Ekeland} et al., SIAM J. Financ. Math. 3, 1--32 (2012; Zbl 1257.91040) Full Text: DOI arXiv
Cvitanić, Jakša; Karatzas, Ioannis Hedging contingent claims with constrained portfolios. (English) Zbl 0825.93958 Ann. Appl. Probab. 3, No. 3, 652-681 (1993). MSC: 93E20 91G10 60H30 60G44 91B62 PDFBibTeX XMLCite \textit{J. Cvitanić} and \textit{I. Karatzas}, Ann. Appl. Probab. 3, No. 3, 652--681 (1993; Zbl 0825.93958) Full Text: DOI
Milevsky, Moshe A.; Salisbury, Thomas S. Financial valuation of guaranteed minimum withdrawal benefits. (English) Zbl 1116.91048 Insur. Math. Econ. 38, No. 1, 21-38 (2006). MSC: 91G20 91B30 60H30 60H10 PDFBibTeX XMLCite \textit{M. A. Milevsky} and \textit{T. S. Salisbury}, Insur. Math. Econ. 38, No. 1, 21--38 (2006; Zbl 1116.91048) Full Text: DOI
Chen, Ping; Yang, Hailiang; Yin, George Markowitz’s mean-variance asset-liability management with regime switching: a continuous-time model. (English) Zbl 1152.91496 Insur. Math. Econ. 43, No. 3, 456-465 (2008). MSC: 91G10 PDFBibTeX XMLCite \textit{P. Chen} et al., Insur. Math. Econ. 43, No. 3, 456--465 (2008; Zbl 1152.91496) Full Text: DOI
Lim, Andrew E. B. Quadratic hedging and mean-variance portfolio selection with random parameters in an incomplete market. (English) Zbl 1082.91050 Math. Oper. Res. 29, No. 1, 132-161 (2004). MSC: 91G10 49N10 60H10 60H30 93E20 PDFBibTeX XMLCite \textit{A. E. B. Lim}, Math. Oper. Res. 29, No. 1, 132--161 (2004; Zbl 1082.91050) Full Text: DOI Link
Yin, G.; Zhou, Xun Yu Markowitz’s mean-variance portfolio selection with regime switching: from discrete-time models to their continuous-time limits. (English) Zbl 1366.91148 IEEE Trans. Autom. Control 49, No. 3, 349-360 (2004). MSC: 91G10 90C40 93E20 91G80 PDFBibTeX XMLCite \textit{G. Yin} and \textit{X. Y. Zhou}, IEEE Trans. Autom. Control 49, No. 3, 349--360 (2004; Zbl 1366.91148) Full Text: DOI
He, Xue Dong; Zhou, Xun Yu Portfolio choice under cumulative prospect theory: an analytical treatment. (English) Zbl 1214.91099 Manage. Sci. 57, No. 2, 315-331 (2011). MSC: 91G10 91B16 PDFBibTeX XMLCite \textit{X. D. He} and \textit{X. Y. Zhou}, Manage. Sci. 57, No. 2, 315--331 (2011; Zbl 1214.91099) Full Text: DOI Link