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Meanfield stochastic linear quadratic optimal control problems: closedloop solvability
Portfolio theory for squared returns correlated across time
1 University of Freiburg, Freiburg im Breisgau, Germany; 
2 University of Maryland, College Park, USA 
References:
[1] 
Acharya, VV, Pedersen, LH:Asset pricing with liquidity risk. J. Financ. Econ 77, 375410 (2005), 
[2] 
AitSahalia, Y, Brandt, MW:Variable selection for portfolio choice. J. Financ 56, 12971351 (2001), 
[3] 
BajeuxBesnainou, I, Portait, R:Dynamic asset allocation in a meanvariance framework. Manag. Sci 44, 7995 (1998), 
[4] 
Bansal, R, Dahlquist, M, Harvey, CR:Dynamic Trading Strategies and Portfolio Choice. Working Paper, Duke University (2004), 
[5] 
BarndorffNielsen, OE, Shephard, N:Econometric analysis of realized volatility and its use in estimating stochastic volatility models. J. R. Stat. Soc. B 64, 253280 (2002), 
[6] 
Basak, S, Chabakauri, G:Dynamic meanvariance asset allocation. Rev. Financ. Stud 23, 29703016 (2010), 
[7] 
Bielecki, T, Jin, H, Pliska, SR, Zhou, XY:Continuoustime meanvariance portfolio selection with bankruptcy prohibition. Math. Financ 15, 213244 (2005), 
[8] 
Brandt, MW, Goyal, A, SantaClara, P, Stroud, JR:A simulation approach to dynamic portfolio choice with an application to learning about predictability. Rev. Financ. Stud 18, 831873 (2005), 
[9] 
Brandt, MW:Portfolio Choice Problems. In:AitSahalia, Y, Hansen, LP (eds.) Handbook of Financial Econometrics, Chapter 5, pp. 269336. Elsevier, Amsterdam (2009), 
[10] 
Brandt, MW, SantaClara, P:Dynamic portfolio selection by augmenting the asset space. J. Financ 61, 21872218 (2006), 
[11] 
Campbell, JY, Viceira, LM:Strategic Asset Allocation:Portfolio Choice for Long Term Investors. Oxford University Press, Oxford (2002), 
[12] 
Cherny, A, Madan, D:New measures for performance evaluation. Rev. Financ. Stud 22, 25712606 (2009), 
[13] 
Cochrane, JHL:A meanvariance benchmark for intertemporal portfolio theory. J. Financ 69, 149 (2014), 
[14] 
Cvitanic, J, Lazrak, A, Wang, T:Implications of the Sharpe ratio as a performance in multiperiod settings.J. Econ. Dyn. Control 32, 16221649 (2008), 
[15] 
Cvitanic, J, Zapatero, F:Introduction to the Economics and Mathematics of Financial Markets. MIT Press, Cambridge, MA (2004), 
[16] 
Duffie, D, Richardson, H:Meanvariance hedging in continuous time. Ann. Appl. Probab 1, 115 (1991), 
[17] 
Hong, H, Scheinkman, J, Xiong, W:Asset float and speculative bubbles. J. Financ 61, 10731117 (2006), 
[18] 
Jagannathan, R, Ma, T:Risk reduction in large portfolios:why imposing the wrong constraints helps. J.Financ 58, 16511683 (2003), 
[19] 
Kusuoka, S:On law invariant coherent risk measures. Adv. Math. Econ 3, 8395 (2001), 
[20] 
Leippold, M, Trojani, F, Vanini, P:Geometric approach to multiperiod mean variance optimization of assets and liabilities. J. Econ. Dyn. Control 28, 10791113 (2004), 
[21] 
Lim, AEB, Zhou, XY:Meanvariance portfolio selection with random parameters in a complete market.Math. Oper. Res 27, 101120 (2002), 
[22] 
MacLean, LC, Zhao, Y, Ziemba, WT:Meanvariance versus expected utility in dynamic investment analysis. Comput. Manag. Sci 8, 322 (2011), 
[23] 
Madan, DB:Conic portfolio theory. Int. J. Theor. Appl. Financ (2016). doi:10.1142/SO219024916500199, 
[24] 
Madan, DB, Pistorius, M, Stadje, M:On Dynamic Spectral Risk Measures and a Limit Theorem. Working Paper, Imperial College, London (2015), 
[25] 
Markowitz, HM:Portfolio selection. J. Financ 7, 7791 (1952), 
[26] 
Markowitz, HM:Foundations of portfolio theory. J. Financ 46, 469477 (1991), 
[27] 
Skiadas, C:Asset Pricing Theory. Princeton University Press, Princeton, NJ (2009), 
[28] 
Strotz, RH:Myopia and inconsistency in dynamic utility maximization. Rev. Econ. Stud 23, 165180 (1956), 
[29] 
Zhou, XY, Li, D:Continuoustime meanvariance portfolio selection:a stochastic LQ framework. Appl.Math. Optim 42, 1933 (2000), 
show all references
References:
[1] 
Acharya, VV, Pedersen, LH:Asset pricing with liquidity risk. J. Financ. Econ 77, 375410 (2005), 
[2] 
AitSahalia, Y, Brandt, MW:Variable selection for portfolio choice. J. Financ 56, 12971351 (2001), 
[3] 
BajeuxBesnainou, I, Portait, R:Dynamic asset allocation in a meanvariance framework. Manag. Sci 44, 7995 (1998), 
[4] 
Bansal, R, Dahlquist, M, Harvey, CR:Dynamic Trading Strategies and Portfolio Choice. Working Paper, Duke University (2004), 
[5] 
BarndorffNielsen, OE, Shephard, N:Econometric analysis of realized volatility and its use in estimating stochastic volatility models. J. R. Stat. Soc. B 64, 253280 (2002), 
[6] 
Basak, S, Chabakauri, G:Dynamic meanvariance asset allocation. Rev. Financ. Stud 23, 29703016 (2010), 
[7] 
Bielecki, T, Jin, H, Pliska, SR, Zhou, XY:Continuoustime meanvariance portfolio selection with bankruptcy prohibition. Math. Financ 15, 213244 (2005), 
[8] 
Brandt, MW, Goyal, A, SantaClara, P, Stroud, JR:A simulation approach to dynamic portfolio choice with an application to learning about predictability. Rev. Financ. Stud 18, 831873 (2005), 
[9] 
Brandt, MW:Portfolio Choice Problems. In:AitSahalia, Y, Hansen, LP (eds.) Handbook of Financial Econometrics, Chapter 5, pp. 269336. Elsevier, Amsterdam (2009), 
[10] 
Brandt, MW, SantaClara, P:Dynamic portfolio selection by augmenting the asset space. J. Financ 61, 21872218 (2006), 
[11] 
Campbell, JY, Viceira, LM:Strategic Asset Allocation:Portfolio Choice for Long Term Investors. Oxford University Press, Oxford (2002), 
[12] 
Cherny, A, Madan, D:New measures for performance evaluation. Rev. Financ. Stud 22, 25712606 (2009), 
[13] 
Cochrane, JHL:A meanvariance benchmark for intertemporal portfolio theory. J. Financ 69, 149 (2014), 
[14] 
Cvitanic, J, Lazrak, A, Wang, T:Implications of the Sharpe ratio as a performance in multiperiod settings.J. Econ. Dyn. Control 32, 16221649 (2008), 
[15] 
Cvitanic, J, Zapatero, F:Introduction to the Economics and Mathematics of Financial Markets. MIT Press, Cambridge, MA (2004), 
[16] 
Duffie, D, Richardson, H:Meanvariance hedging in continuous time. Ann. Appl. Probab 1, 115 (1991), 
[17] 
Hong, H, Scheinkman, J, Xiong, W:Asset float and speculative bubbles. J. Financ 61, 10731117 (2006), 
[18] 
Jagannathan, R, Ma, T:Risk reduction in large portfolios:why imposing the wrong constraints helps. J.Financ 58, 16511683 (2003), 
[19] 
Kusuoka, S:On law invariant coherent risk measures. Adv. Math. Econ 3, 8395 (2001), 
[20] 
Leippold, M, Trojani, F, Vanini, P:Geometric approach to multiperiod mean variance optimization of assets and liabilities. J. Econ. Dyn. Control 28, 10791113 (2004), 
[21] 
Lim, AEB, Zhou, XY:Meanvariance portfolio selection with random parameters in a complete market.Math. Oper. Res 27, 101120 (2002), 
[22] 
MacLean, LC, Zhao, Y, Ziemba, WT:Meanvariance versus expected utility in dynamic investment analysis. Comput. Manag. Sci 8, 322 (2011), 
[23] 
Madan, DB:Conic portfolio theory. Int. J. Theor. Appl. Financ (2016). doi:10.1142/SO219024916500199, 
[24] 
Madan, DB, Pistorius, M, Stadje, M:On Dynamic Spectral Risk Measures and a Limit Theorem. Working Paper, Imperial College, London (2015), 
[25] 
Markowitz, HM:Portfolio selection. J. Financ 7, 7791 (1952), 
[26] 
Markowitz, HM:Foundations of portfolio theory. J. Financ 46, 469477 (1991), 
[27] 
Skiadas, C:Asset Pricing Theory. Princeton University Press, Princeton, NJ (2009), 
[28] 
Strotz, RH:Myopia and inconsistency in dynamic utility maximization. Rev. Econ. Stud 23, 165180 (1956), 
[29] 
Zhou, XY, Li, D:Continuoustime meanvariance portfolio selection:a stochastic LQ framework. Appl.Math. Optim 42, 1933 (2000), 
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