Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation

By Peter A. Forsyth, Jian Wang. 2010

66 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/8b9f3ef2cc730b0393691fb0a0e39de931fbce4c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Peter A. Forsyth

In Finance

1. Peter A. Forsyth
2. H. Windcliff
3. J. S. Kennedy
4. S. Tse
5. Kenneth R. Vetzal
6. Alexander Schied
7. Jari Toivanen
8. Samuli Ikonen

Citations in the corpus

• Optimal trade execution: A mean quadratic variation approach (2012, background): “…performance280 of algorithmic trading trading strategies in practice, these optimal strategies are time-inconsistent (Basak281 and Chabakauri, 2010; Wang and Forsyth, 2010; Forsyth, 2011; Wang and Forsyth, 2011a), a property that282 is considered unnatural by some authors (Basak and Chabakauri,…”