| 题名 | A note on monotone mean–variance preferences for continuous processes |
| 作者 | |
| 通讯作者 | Moris Simon Strub |
| 发表日期 | 2020-05
|
| DOI | |
| 发表期刊 | |
| ISSN | 0167-6377
|
| EISSN | 1872-7468
|
| 卷号 | 48期号:4页码:397-400 |
| 摘要 | We extend a recent result of Trybuła and Zawisza (2019), who investigate a continuous-time portfolio optimization problem under monotone mean–variance preferences. Their main finding is that the optimal strategies for monotone and classical mean–variance preferences coincide in a stochastic factor model for the financial market. We generalize this result to any model for the financial market where asset prices are continuous. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 第一
; 通讯
|
| 资助项目 | Hong Kong Research Grants Council, Hong Kong[11200219]
|
| WOS研究方向 | Operations Research & Management Science
|
| WOS类目 | Operations Research & Management Science
|
| WOS记录号 | WOS:000551107100002
|
| 出版者 | |
| EI入藏号 | 20202008671792
|
| EI主题词 | Commerce
; Continuous time systems
; Financial data processing
; Stochastic models
; Stochastic systems
|
| EI分类号 | Control Systems:731.1
; Probability Theory:922.1
; Systems Science:961
|
| ESI学科分类 | ENGINEERING
|
| 来源库 | Web of Science
|
| 引用统计 |
被引频次[WOS]：9
|
| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/135737 |
| 专题 | 商学院 商学院_信息系统与管理工程系 |
| 作者单位 | 1.College of Business, Southern University of Science and Technology, Taizhou Building 501-5(D), Xueyuan Ave 1088, Nanshan, Shenzhen, Guangdong 518055, China 2.School of Data Science, City University of Hong Kong, Hong Kong |
| 第一作者单位 | 商学院 |
| 通讯作者单位 | 商学院 |
| 第一作者的第一单位 | 商学院 |
| 推荐引用方式 GB/T 7714 |
Moris Simon Strub,Duan Li. A note on monotone mean–variance preferences for continuous processes[J]. OPERATIONS RESEARCH LETTERS,2020,48(4):397-400.
|
| APA |
Moris Simon Strub,&Duan Li.(2020).A note on monotone mean–variance preferences for continuous processes.OPERATIONS RESEARCH LETTERS,48(4),397-400.
|
| MLA |
Moris Simon Strub,et al."A note on monotone mean–variance preferences for continuous processes".OPERATIONS RESEARCH LETTERS 48.4(2020):397-400.
|
| 条目包含的文件 | ||||||
| 文件名称/大小 | 文献类型 | 版本类型 | 开放类型 | 使用许可 | 操作 | |
| StrubLi20-ORL-ANoteO（341KB） | -- | -- | 限制开放 | -- | ||
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