Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow (Q414601): Difference between revisions

@@ Property / author @@
-Zhong-Fei Li
@@ Property / author: Zhong-Fei Li / rank @@
-Normal rank
@@ Property / author @@
+Zhong-Fei Li
@@ Property / author: Zhong-Fei Li / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6033257
@@ Property / zbMATH DE Number: 6033257 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+regime switching
@@ Property / zbMATH Keywords: regime switching / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance portfolio selection
@@ Property / zbMATH Keywords: mean-variance portfolio selection / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+efficient frontier
@@ Property / zbMATH Keywords: efficient frontier / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+non-self-financing
@@ Property / zbMATH Keywords: non-self-financing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic cash flow
@@ Property / zbMATH Keywords: stochastic cash flow / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+dynamic programming
@@ Property / zbMATH Keywords: dynamic programming / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2012.01.003
+Normal rank
@@ Property / OpenAlex ID @@
+W1972180498
@@ Property / OpenAlex ID: W1972180498 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in stochastic markets
@@ Property / cites work: Portfolio optimization in stochastic markets / rank @@
+Normal rank
@@ Property / cites work @@
+Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
+Normal rank
@@ Property / cites work @@
+A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
+Normal rank
@@ Property / cites work @@
+Multiperiod mean-variance optimization with intertemporal restrictions
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:414601