Free Access
Volume 20, 2016
Page(s) 30 - 44
Published online 14 July 2016
  1. D. Andersson and B. Djehiche, A maximum principle for SDEs of mean-field type. Appl. Math. Optim. 63 (2011) 341–356. [Google Scholar]
  2. S. Ankirchner and A. Dermoune, Multiperiod mean-variance portfolio optimization via market cloning. Appl. Math. Optim. 64 (2011) 135–154. [CrossRef] [MathSciNet] [Google Scholar]
  3. A. Bensoussan, K.C.J. Sung, S.C.P. Yam, and S.P. Yung, Linear-quadratic mean field games. Preprint arXiv:1404.5741 (2014). [Google Scholar]
  4. T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochastic control problems. Technical report, Stockholm School of Economics (2010). [Google Scholar]
  5. T. Björk, A. Murgoci and X.Y. Zhou, Mean-variance portfolio optimization with state-dependent risk aversion. Math. Finance 24 (2014) 1–24. [CrossRef] [MathSciNet] [Google Scholar]
  6. R. Buckdahn, B. Djehiche and J. Li, A general stochastic maximum principle for SDEs of mean-field type. Appl. Math. Optim. 64 (2011) 197–216. [Google Scholar]
  7. R. Carmona and F. Delarue, Forward-backward stochastic differential equations and controlled McKean–Vlasov dynamics. Preprint arXiv:1303.5835 (2013). [Google Scholar]
  8. R. Carmona, F. Delarue and A. Lachapelle, Control of McKean–Vlasov dynamics versus mean field games. Math. Fin. Econ. 7 (2013) 131–166. [Google Scholar]
  9. W.H. Fleming and H.M. Soner, Controlled Markov Processes and Viscosity Solutions. Vol. 25 of Stoch. Model. Appl. Probab., 2nd edition. Springer, New York (2006). [Google Scholar]
  10. D. Li and W.-L. Ng, Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Math. Finance 10 (2000) 387–406. [CrossRef] [MathSciNet] [Google Scholar]
  11. H. Markowitz, Portfolio selection. J. Finance 7 (1952) 77–91. [Google Scholar]
  12. H.P. McKean, A class of Markov processes associated with nonlinear parabolic equations. Proc. Natl. Acad. Sci. USA 56 (1966) 1907–1911. [Google Scholar]
  13. A.-S. Sznitman, Topics in propagation of chaos. In Ecole d’Eté de Probabilités de Saint-Flour XIX – 1989. Edited by P.-L. Hennequin. Vol. 1464 of Lect. Notes Math. Springer-Verlag, Berlin (1991) 165–251. [Google Scholar]
  14. X.Y. Zhou and D. Li, Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Appl. Math. Optim. 42 (2000) 19–33. [CrossRef] [MathSciNet] [Google Scholar]

Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.

Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.

Initial download of the metrics may take a while.