Optimal portfolio selection with liability management and Markov switching under constrained variance (Q636696): Difference between revisions

@@ 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.camwa.2010.09.045
+Normal rank
@@ Property / OpenAlex ID @@
+W2056403629
@@ Property / OpenAlex ID: W2056403629 / rank @@
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Asset and liability management under a continuous-time mean-variance optimization framework
+Normal rank
@@ Property / cites work @@
+Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
+Normal rank
@@ Property / cites work @@
+Stock Trading: An Optimal Selling Rule
@@ Property / cites work: Stock Trading: An Optimal Selling Rule / rank @@
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection with liability and regime switching
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank