no. 3
Continuous-time mean-risk portfolio selection
Annales de l'I.H.P. Probabilités et statistiques, Tome 41 (2005) no. 3, pp. 559-580. 
@article{AIHPB_2005__41_3_559_0,
     author = {Jin, Hanqing and Yan, Jia-An and Zhou, Xun Yu},
     title = {Continuous-time mean-risk portfolio selection},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {559--580},
     publisher = {Elsevier},
     volume = {41},
     number = {3},
     year = {2005},
     doi = {10.1016/j.anihpb.2004.09.009},
     zbl = {02191867},
     language = {en},
     url = {http://www.numdam.org/articles/10.1016/j.anihpb.2004.09.009/}
}
TY  - JOUR
AU  - Jin, Hanqing
AU  - Yan, Jia-An
AU  - Zhou, Xun Yu
TI  - Continuous-time mean-risk portfolio selection
JO  - Annales de l'I.H.P. Probabilités et statistiques
PY  - 2005
SP  - 559
EP  - 580
VL  - 41
IS  - 3
PB  - Elsevier
UR  - http://www.numdam.org/articles/10.1016/j.anihpb.2004.09.009/
DO  - 10.1016/j.anihpb.2004.09.009
LA  - en
ID  - AIHPB_2005__41_3_559_0
ER  - 
%0 Journal Article
%A Jin, Hanqing
%A Yan, Jia-An
%A Zhou, Xun Yu
%T Continuous-time mean-risk portfolio selection
%J Annales de l'I.H.P. Probabilités et statistiques
%D 2005
%P 559-580
%V 41
%N 3
%I Elsevier
%U http://www.numdam.org/articles/10.1016/j.anihpb.2004.09.009/
%R 10.1016/j.anihpb.2004.09.009
%G en
%F AIHPB_2005__41_3_559_0
Jin, Hanqing; Yan, Jia-An; Zhou, Xun Yu. Continuous-time mean-risk portfolio selection. Annales de l'I.H.P. Probabilités et statistiques, Tome 41 (2005) no. 3, pp. 559-580. doi : 10.1016/j.anihpb.2004.09.009. http://www.numdam.org/articles/10.1016/j.anihpb.2004.09.009/

[1] T.R. Bielecki, S.R. Pliska, H. Jin, X.Y. Zhou, Continuous-time mean-variance portfolio selection with bankruptcy prohibition, Math. Finance, in press. | MR | Zbl

[2] X. Cai, K.L. Teo, X. Yang, X.Y. Zhou, Portfolio optimization under a minimax rule, Manag. Sci. 46 (2000) 957-972.

[3] J. Cvitanić, I. Karatzas, On dynamic measures of risk, Finance Stochast. 3 (1999) 451-482. | MR | Zbl

[4] N. El Karoui, S. Peng, M.C. Quenez, Backward stochastic differential equations in finance, Math. Finance 7 (1997) 1-71. | MR | Zbl

[5] R.J. Elliott, P.E. Kopp, Mathematics of Financial Markets, Springer-Verlag, New York, 1999. | MR | Zbl

[6] P.C. Fishburn, Mean-risk analysis with risk associated with below-target returns, Amer. Econ. Rev. 67 (1977) 116-126.

[7] H. Föllmer, P. Leukert, Quantile hedging, Finance Stochast. 3 (1999) 251-273. | MR | Zbl

[8] H. Jin, X.Y. Zhou, Continuous-time Markowitz's problems in an incomplete market, with constrained portfolios, Working paper, 2004.

[9] P. Jorion, Vale at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, New York, 2001.

[10] I. Karatzas, S.E. Shreve, Methods of Mathematical Finance, Springer-Verlag, New York, 1998. | MR | Zbl

[11] M. Kulldorff, Optimal control of a favorable game with a time-limit, SIAM J. Contr. Optim. 31 (1993) 52-69. | MR | Zbl

[12] H. Konno, H. Yamazaki, Mean-absolute deviation portfolio optimization model and its application to Tokyo stock market, Manag. Sci. 37 (1991) 519-531.

[13] X. Li, X.Y. Zhou, A.E.B. Lim, Dynamic mean-variance portfolio selection with no-shorting constraints, SIAM J. Contr. Optim. 40 (2001) 1540-1555. | MR | Zbl

[14] A.E.B. Lim, X.Y. Zhou, Mean-variance portfolio selection with random parameters in a complete market, Math. Oper. Res. 27 (2002) 101-120. | MR | Zbl

[15] J. Ma, P. Protter, J. Yong, Solving forward-backward stochastic differential equations explicitly - a four step scheme, Prob. Theory Related Fields 98 (1994) 339-359. | MR | Zbl

[16] J. Ma, J. Yong, Forward-Backward Stochastic Differential Equations and Their Applications, Lect. Notes in Math., vol. 1702, Springer-Verlag, New York, 1999. | MR | Zbl

[17] H. Markowitz, Portfolio selection, J. Finance 7 (1952) 77-91.

[18] H. Markowitz, Portfolio Selection: Efficient Diversification of Investments, Wiley, New York, 1959. | MR

[19] D. Nawrocki, A brief history of downside risk measures, J. Investing 8 (1999) 9-25.

[20] S.R. Pliska, A discrete time stochastic decision model, in: Fleming W.H., Gorostiza L.G. (Eds.), Advances in Filtering and Optimal Stochastic Control, Lecture Notes in Control and Information Sci., vol. 42, Springer-Verlag, New York, 1982, pp. 290-304. | MR | Zbl

[21] R.T. Rockafellar, Convex Analysis, Princeton University Press, Princeton, 1970. | MR | Zbl

[22] F.A. Sortino, R. Van Der Meer, Downside risk, J. Portfolio Manag. 17 (1991) 27-31.

[23] M.C. Steinbach, Markowitz revisited: mean-variance models in financial portfolio analysis, SIAM Rev. 43 (2001) 31-85. | MR | Zbl

[24] J. Yong, X.Y. Zhou, Stochastic Controls: Hamiltonian Systems and HJB Equations, Springer, New York, 1999. | MR | Zbl

[25] X.Y. Zhou, Markowitz's world in continuous-time, and beyond, in: Yao D.D., (Eds.), Stochastic Modeling and Optimization, Springer, New York, 2003, pp. 279-310. | MR | Zbl

[26] X.Y. Zhou, D. Li, Continuous time mean-variance portfolio selection: a stochastic LQ framework, Appl. Math. Optim. 42 (2000) 19-33. | MR | Zbl

Cité par Sources :