In single-period portfolio optimization settings, Mean-Variance (MV) optimization can result
in notoriously unstable asset allocations due to small changes in the underlying asset …

We introduce a model for portfolio selection with an extendable investment universe where
an agent with mean-variance preferences faces a trade-off between exploiting existing and …

We compare the distributions of terminal wealth obtained from implementing the optimal
investment strategies associated with the different approaches to dynamic mean-variance …

We analyze dynamic investment strategies for benchmark outperformance using two widely
used objectives of practical interest to investors:(i) maximizing the information ratio (IR), and …

We develop a highly efficient, easy-to-implement, and strictly monotone numerical
integration method for Mean-Variance (MV) portfolio optimization. This method proves very …

We study discrete‐time predictable forward processes when trading times do not coincide
with performance evaluation times in a binomial tree model for the financial market. The key …

We formulate the multiperiod, time consistent mean-CVAR (conditional value at risk) asset
allocation problem in a form amenable to numerical computation. Our numerical algorithm …

Dynamic mean-variance (MV) optimal strategies are inherently contrarian. Following periods
of strong equity returns, there is a tendency to de-risk the portfolio by shifting into risk-free …

We pose the decumulation strategy for a defined contribution (DC) pension plan as a
problem in optimal stochastic control. The controls are the withdrawal amounts and the asset …

We consider the holder of an individual tontine retirement account, with maximum and
minimum withdrawal amounts (per year) specified. The tontine account holder initiates the …