Dynamical systems with random influences occur throughout the physical, biological, and
social sciences. By carefully studying a randomly varying system over a small time interval, a …

We solve the dynamic mean-variance portfolio problem and derive its time-consistent
solution using dynamic programming. Previous literature, in contrast, only determines either …

This paper proposes a new simulation‐based approach for optimal portfolio allocation in
realistic environments with complex dynamics for the state variables and large numbers of …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

This paper reviews portfolio selection models and provides perspective on some open
issues. It starts with a review of the classic Markowitz mean-variance framework. It then …

This paper analyzes the dynamic portfolio choice implications of strategic interaction among
money managers who compete for fund flows. We study such interaction between two risk …

Utility-maximizing consumption and investment strategies in closed form are unknown for
realistic settings involving portfolio constraints, incomplete markets, and potentially a high …

INCOMPLETE! Preliminary and incomplete lecture notes intended for use at an advanced
master's level or an introductory Ph. D. level. I appreciate comments and corrections from …

We study the asset-pricing implications of value-at-risk (VaR) regulation in incomplete
continuous-time economies with intermediate expenditure, stochastic opportunity set, and …

This brief offers a broad, yet concise, coverage of portfolio choice, containing both
application-oriented and academic results, along with abundant pointers to the literature for …