{"id":"https://openalex.org/W2966697054","doi":"https://doi.org/10.1137/18m1222570","title":"Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?","display_name":"Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?","publication_year":2019,"publication_date":"2019-01-01","ids":{"openalex":"https://openalex.org/W2966697054","doi":"https://doi.org/10.1137/18m1222570","mag":"2966697054"},"language":"en","primary_location":{"id":"doi:10.1137/18m1222570","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1222570","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5107878720","display_name":"Pieter M. van Staden","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Pieter M. van Staden","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5071596824","display_name":"Duy\u2010Minh Dang","orcid":"https://orcid.org/0000-0002-5260-838X"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Duy-Minh Dang","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5103261400","display_name":"Peter Forsyth","orcid":"https://orcid.org/0000-0001-7841-7891"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Peter A. Forsyth","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.7677,"has_fulltext":false,"cited_by_count":17,"citation_normalized_percentile":{"value":0.85634379,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":"10","issue":"3","first_page":"815","last_page":"856"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9998000264167786,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9934999942779541,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9872000217437744,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimization-problem","display_name":"Optimization problem","score":0.5720806121826172},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.5573463439941406},{"id":"https://openalex.org/keywords/equivalence","display_name":"Equivalence (formal languages)","score":0.5453256964683533},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.5317721962928772},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5180552005767822},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.5069444179534912},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.4992825984954834},{"id":"https://openalex.org/keywords/viscosity-solution","display_name":"Viscosity solution","score":0.4583321213722229},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.4534951150417328},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.3977316617965698},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.17918452620506287},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.13624614477157593}],"concepts":[{"id":"https://openalex.org/C137836250","wikidata":"https://www.wikidata.org/wiki/Q984063","display_name":"Optimization problem","level":2,"score":0.5720806121826172},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.5573463439941406},{"id":"https://openalex.org/C2780069185","wikidata":"https://www.wikidata.org/wiki/Q7977945","display_name":"Equivalence (formal languages)","level":2,"score":0.5453256964683533},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.5317721962928772},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5180552005767822},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.5069444179534912},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.4992825984954834},{"id":"https://openalex.org/C88731125","wikidata":"https://www.wikidata.org/wiki/Q7935676","display_name":"Viscosity solution","level":2,"score":0.4583321213722229},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.4534951150417328},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.3977316617965698},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.17918452620506287},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.13624614477157593},{"id":"https://openalex.org/C118615104","wikidata":"https://www.wikidata.org/wiki/Q121416","display_name":"Discrete mathematics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/18m1222570","is_oa":false,"landing_page_url":"https://doi.org/10.1137/18m1222570","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:espace.library.uq.edu.au:UQ:4e61b71","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306402388","display_name":"Queensland's institutional digital repository (The University of Queensland)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I165143802","host_organization_name":"The University of Queensland","host_organization_lineage":["https://openalex.org/I165143802"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Journal Article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W1791174547","https://openalex.org/W1937585961","https://openalex.org/W1940085213","https://openalex.org/W1975574867","https://openalex.org/W1988270113","https://openalex.org/W2002788332","https://openalex.org/W2005795282","https://openalex.org/W2032316144","https://openalex.org/W2047892240","https://openalex.org/W2054595450","https://openalex.org/W2056981121","https://openalex.org/W2071383004","https://openalex.org/W2073434764","https://openalex.org/W2075090252","https://openalex.org/W2076213360","https://openalex.org/W2076959590","https://openalex.org/W2078077640","https://openalex.org/W2096877327","https://openalex.org/W2118131312","https://openalex.org/W2132621139","https://openalex.org/W2138388875","https://openalex.org/W2151065060","https://openalex.org/W2177195156","https://openalex.org/W2318567134","https://openalex.org/W2324833241","https://openalex.org/W2470369492","https://openalex.org/W2592188887","https://openalex.org/W2755439746","https://openalex.org/W2772601807","https://openalex.org/W2963939707","https://openalex.org/W3121841951","https://openalex.org/W3124407081","https://openalex.org/W3124854273"],"related_works":["https://openalex.org/W2962695587","https://openalex.org/W2754120543","https://openalex.org/W2943897807","https://openalex.org/W2766367749","https://openalex.org/W3120484221","https://openalex.org/W2963548356","https://openalex.org/W4366198066","https://openalex.org/W4306892756","https://openalex.org/W4386272992","https://openalex.org/W2751856003"],"abstract_inverted_index":{"We":[0,44,72,119,185,202],"investigate":[1],"the":[2,13,21,26,39,49,65,80,85,136,178,182,190,195,199,205,210,217,221,231],"mean-quadratic":[3],"variation":[4],"(MQV)":[5],"portfolio":[6,17,248],"optimization":[7,18,249],"problem":[8],"and":[9,30,41,60,69,76,87,94,113,129,138,150],"its":[10],"relationship":[11],"to":[12,57,124,134,160,194,255],"time-consistent":[14],"mean-variance":[15],"(TCMV)":[16],"problem.":[19,184],"In":[20,132],"case":[22],"of":[23,79,100,189,198,233],"jumps":[24],"in":[25,91,115,141],"risky":[27,116],"asset":[28,117],"process":[29,224],"no":[31],"investment":[32,148,223,238],"constraints,":[33],"we":[34,167,244],"derive":[35],"analytical":[36,155],"solutions":[37,156],"for":[38,110,153,176,181],"TCMV":[40,86,139,218],"MQV":[42,88,137,183,206,247],"problems.":[43],"study":[45],"conditions":[46],"under":[47],"which":[48,146,154],"two":[50],"problems":[51,89,140],"are":[52,157],"(i)":[53],"identical":[54],"with":[55,236],"respect":[56],"MV":[58],"trade-offs,":[59],"(ii)":[61],"equivalent,":[62],"i.e.,":[63],"have":[64],"same":[66,211],"value":[67],"function":[68],"optimal":[70,179],"control.":[71],"provide":[73],"a":[74,142,242,251],"rigorous":[75],"intuitive":[77],"explanation":[78],"abstract":[81],"equivalence":[82,122],"result":[83,123],"between":[84],"developed":[90],"[T.":[92],"Bjork":[93],"A.":[95],"Murgoci,":[96],"A":[97],"General":[98],"Theory":[99],"Markovian":[101],"Time":[102],"Inconsistent":[103],"Stochastic":[104],"Control":[105],"Problems,":[106],"working":[107],"paper,":[108],"2010]":[109],"continuous":[111,130],"rebalancing":[112],"no-jumps":[114],"processes.":[118],"extend":[120],"this":[121],"jump-diffusion":[125],"processes":[126],"(both":[127],"discrete":[128],"rebalancings).":[131],"order":[133],"compare":[135],"more":[143,226],"realistic":[144],"setting":[145],"involves":[147],"constraints":[149],"modeling":[151],"assumptions":[152],"not":[158],"known":[159],"exist,":[161],"using":[162],"an":[163,169],"impulse":[164],"control":[165,180],"approach":[166],"develop":[168],"efficient":[170],"partial":[171],"integro-differential":[172],"equation":[173],"(PIDE)":[174],"method":[175,193],"determining":[177],"also":[186],"prove":[187],"convergence":[188],"proposed":[191],"numerical":[192],"viscosity":[196],"solution":[197],"corresponding":[200],"PIDE.":[201],"find":[203],"that":[204,246],"investor":[207],"achieves":[208],"essentially":[209],"results":[212],"concerning":[213],"terminal":[214],"wealth":[215],"as":[216],"investor,":[219],"but":[220],"MQV-optimal":[222],"has":[225],"desirable":[227,253],"risk":[228],"characteristics":[229],"from":[230],"perspective":[232],"long-term":[234],"investors":[235],"fixed":[237],"time":[239],"horizons.":[240],"As":[241],"result,":[243],"conclude":[245],"is":[250],"potentially":[252],"alternative":[254],"TCMV.":[256]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":5},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":4},{"year":2020,"cited_by_count":2}],"updated_date":"2026-08-15T07:11:24.734988","created_date":"2025-10-10T00:00:00"}