Dynamic Asset Allocation in a Mean-Variance Framework

Published Online:https://doi.org/10.1287/mnsc.44.11.S79

References

  • Bajeux-Besnainou I. , Portait R. The numeraire portfolio: A new methodology for continuous-time finance. Eur. J. Finance (1997) . Forthcoming Google Scholar
  • Chan K. , Karolyi A. , Longstaff F. , Sanders A. An empirical comparison of alternative models of the short-term interest rate. J. Finance (1992) 47 CrossrefGoogle Scholar
  • Conze A. , Viswanathan R. Probability measures and numeraire (1991) (Unpublished, CEREMADE, Université de Paris, France) Google Scholar
  • Cox J. , Huang C. F. Optimal consumption and portfolio policies when asset prices follow a diffusion process. J. Econom. Theory (1989) 49 CrossrefGoogle Scholar
  • Duffie D. Dynamic Asset Pricing Theory (1992) (Princeton University Press, Princeton, NJ) Google Scholar
  • Duffie D. , Richardson H. R. Mean-variance hedging in continuous time. Ann. Appl. Probab. (1991) 1 1 15 CrossrefGoogle Scholar
  • Geman H. , El Karoui N. , Rochet J. C. Changes of numeraire arbitrage and option prices. J. Appl. Probab. (1995) 2 443 458 CrossrefGoogle Scholar
  • Hansen L. P. , Jagannathan R. Implications of security market data for models of dynamic economies. J. Political Econom. (1991) 99 225 262 CrossrefGoogle Scholar
  • Hansen L. P. , Richard S. The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models. Econometrica (1987) 55 587 613 CrossrefGoogle Scholar
  • Harrison J. M. , Kreps K. Martingales and arbitrage in multiperiod security markets. J. Econom. Theory (1979) 20 CrossrefGoogle Scholar
  • Harrison J. M. , Pliska S. Martingales and the stochastic integrals in the theory of continuous trading. Stochastic Processes and Their Appl. (1981) 11 CrossrefGoogle Scholar
  • Hull J. Options, Futures and Other Derivatives (1997) 3rd ed. (Prentice-Hall, Englewood Cliffs, NJ) Google Scholar
  • Hull J. C. , White A. Pricing interest-rate-derivative securities. Rev. Financial Stud. (1990) 3 573 592 CrossrefGoogle Scholar
  • Jagannathan R. Relation between the slopes of the conditional and unconditional mean-standard deviation frontiers of assets returns. Modern Portfolio Theory and its Application (1996) . Center for Academic Societies Japan, Osaka Google Scholar
  • Jamshidian F. An exact bond pricing formula. J. Finance (1989) 44 205 209 CrossrefGoogle Scholar
  • Jamshidian F. Bond and option evaluation in the Gaussian interest rate model. Res. Finance (1991) 9 131 170 Google Scholar
  • Ingersoll J. Theory of Financial Decision Making (1987) (Rowman and Littlefield, Totowa, NJ) Google Scholar
  • Karatzas I. , Lehoczky J. , Schreve S. Optimal portfolio and consumption decisions for a “small investor” on a finite horizon. SIAM J. Control Optim. (1987) 25 1157 1186 CrossrefGoogle Scholar
  • Long J. B. The numeraire portfolio. J. Financial Econom. (1990) 26 29 69 CrossrefGoogle Scholar
  • Markowitz H. Portfolio Selection (1959) (Yale University Press, New Haven, CT) Google Scholar
  • Merton R. Optimum consumption and portfolio rules in a continuous time model. J. Econom. Theory (1971) 3 373 413 CrossrefGoogle Scholar
  • Merton R. An intertemporal capital asset pricing model. Econometrica (1973) 41 867 888 CrossrefGoogle Scholar
  • Merton R. Continuous Time Finance (1990) (Basil Blackwell, Oxford) Google Scholar
  • Rabinovitch R. Pricing stock and bond options when the defaultfree rate is stochastic. J. Financial Quant. Anal. (1989) 24 CrossrefGoogle Scholar
  • Richardson H. A minimum variance result in continuous trading portfolio optimization. Management Sci. (1989) 35 1045 1055 LinkGoogle Scholar
  • Roll R. Evidence on the growth optimum model. J. Finance (1973) 28 551 566 Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.