BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM

By Xiangyu Cui, Duan Li, Shouyang Wang, Shushang Zhu. 2012

146 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/cd0ad362e1a1f73f644acb678ed55de8cba8c28c

How researchers see this paper

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

In Economics and Econometrics

1. Xun Li
2. Xiangyu Cui
3. Duan Li
4. Xun Yu Zhou
5. Huyen Pham
6. Elena Vigna
7. Peter A. Forsyth

In Finance

1. Xun Li
2. Xiangyu Cui
3. Duan Li
4. Xun Yu Zhou
5. Peter A. Forsyth
6. Elena Vigna
7. George Yin
8. Huyen Pham

In Management Science and Operations Research

1. Xun Li
2. Xiangyu Cui
3. Duan Li
4. Xun Yu Zhou
5. Peter A. Forsyth
6. Elena Vigna
7. George Yin
8. Huyen Pham

Citations in the corpus

• Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure (2014, background): “Condition (i) in Theorem 3.1 for the efficiency of the truncated pre-committed efficient meanvariance policy at time k can be interpreted as a threshold condition for xk, xk ≤ ρ −1 k (d− µ ⋆) = ρ−1k d− C+0 ρ0x0 1− C+0 , which is similar to the result of Proposition 3.1 in Cui et al. (2012).”