Results 1  10
of
2,018
Optimal MeanVariance Selling Strategies
"... Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0, and letting Px denote a probability measure under which X starts at x> 0, we study the dynamic version of the nonlinear meanvariance optimal stopping problem sup EXt(Xτ) − c VarXt(Xτ) ..."
Abstract

Cited by 1 (1 self)
 Add to MetaCart
Assuming that the stock price X follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0, and letting Px denote a probability measure under which X starts at x> 0, we study the dynamic version of the nonlinear meanvariance optimal stopping problem sup EXt(Xτ) − c VarXt(Xτ)
Optimal MeanVariance Portfolio Selection
"... Assuming that the wealth process Xu is generated selffinancially from the given initial wealth by holding its fraction u in a risky stock (whose price follows a geometric Brownian motion with drift µ ∈ IR and volatility σ> 0) and its remaining fraction 1−u in a riskless bond (whose price compoun ..."
Abstract
 Add to MetaCart
compounds exponentially with interest rate r ∈ IR), and letting Pt,x denote a probability measure under which Xu takes value x at time t, we study the dynamic version of the nonlinear meanvariance optimal control problem sup Et,X
Optimal meanvariance robust hedging under asset price model misspecification
 Georgian Math. J
"... Abstract. The problem of constructing robust optimal in the meanvariance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal meanvariance robu ..."
Abstract

Cited by 1 (1 self)
 Add to MetaCart
Abstract. The problem of constructing robust optimal in the meanvariance sense trading strategies is considered. The approach based on the notion of sensitivity of a risk functional of the problem w.r.t. small perturbation of asset price model parameters is suggested. The optimal meanvariance
Optimal MeanVariance Portfolio Construction in Cointegrated Vector Autoregressive Systems
"... AbstractWe study the problem of optimal portfolio construction when the logprices follow a discretetime cointegrated vector autoregressive model. We follow the classical Markowitz meanvariance optimization approach, and derive expressions for the optimal portfolio weight vector over a single de ..."
Abstract
 Add to MetaCart
AbstractWe study the problem of optimal portfolio construction when the logprices follow a discretetime cointegrated vector autoregressive model. We follow the classical Markowitz meanvariance optimization approach, and derive expressions for the optimal portfolio weight vector over a single
unknown title
, 2013
"... Nearoptimal mean–variance controls under twotimescale formulations and applications ..."
Abstract
 Add to MetaCart
Nearoptimal mean–variance controls under twotimescale formulations and applications
Optimal robust meanvariance hedging in incomplete financial markets
 Journal of Mathematical Sciences
"... Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial mar ..."
Abstract

Cited by 3 (1 self)
 Add to MetaCart
Abstract. Optimal Brobust estimate is constructed for multidimensional parameter in drift coefficient of diffusion type process with small noise. Optimal meanvariance robust (optimal Vrobust) trading strategy is find to hedge in meanvariance sense the contingent claim in incomplete financial
MEANVARIANCE PORTFOLIO OPTIMIZATION
, 2004
"... Transaction costs and resampling are two important issues that need great attention in every portfolio investment planning. In practice costs are incurred to rebalance a portfolio. Every investor tries to find a way of avoiding high transaction cost as much as possible. In this thesis, we investigat ..."
Abstract
 Add to MetaCart
investigated how transaction costs and resampling affect portfolio investment. We modified the basic meanvariance optimization problem to include rebalancing costs we incur on transacting securities in the portfolio. We also reduce trading as much as possible by applying the resampling approach any time we
Mean–variance optimal adaptive execution
 Applied Mathematical Finance
, 2011
"... Electronic trading of equities and other securities makes heavy use of “arrival price ” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, meanvariance optimal trading strategies are static: they do not modi ..."
Abstract

Cited by 11 (1 self)
 Add to MetaCart
Electronic trading of equities and other securities makes heavy use of “arrival price ” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, meanvariance optimal trading strategies are static: they do
The theory of planned behavior
 Organizational Behavior and Human Decision Processes
, 1991
"... Research dealing with various aspects of * the theory of planned behavior (Ajzen, 1985, 1987) is reviewed, and some unresolved issues are discussed. In broad terms, the theory is found to be well supported by empirical evidence. Intentions to perform behaviors of different kinds can be predicted wit ..."
Abstract

Cited by 2754 (9 self)
 Add to MetaCart
with high accuracy from attitudes toward the behavior, subjective norms, and perceived behavioral control; and these intentions, together with perceptions of behavioral control, account for considerable variance in actual behavior. Attitudes, subjective norms, and perceived behavioral control are shown
MEANVARIANCE HEDGING WHEN THERE ARE JUMPS
, 2005
"... In this paper, we consider the problem of meanvariance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form e ..."
Abstract

Cited by 8 (0 self)
 Add to MetaCart
In this paper, we consider the problem of meanvariance hedging in an incomplete market where the underlying assets are jump diffusion processes which are driven by Brownian motion and doubly stochastic Poisson processes. This problem is formulated as a stochastic control problem, and closed form
Results 1  10
of
2,018