Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (Q320296): Difference between revisions

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English	Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows	scientific article

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scholarly article

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title

Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (English)

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Insurance Mathematics \& Economics

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publication date

6 October 2016

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zbMATH Keywords

portfolio choice

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stochastic cash flows

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pre-commitment strategy

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time-consistent strategy

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exponential utility

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2016.03.002

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cites work

Q5618987

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Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability

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Portfolio selection with hyperexponential utility functions

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Multi-period portfolio optimization with linear control policies

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An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs

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Portfolio selection in stochastic markets with exponential utility functions

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Portfolio selection in stochastic markets with HARA utility functions

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Portfolio selection with imperfect information: A hidden Markov model

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Time-consistent investment policies in Markovian markets: a case of mean-variance analysis

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A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

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Multiperiod mean-variance optimization with intertemporal restrictions

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Optimal multi-period mean-variance policy under no-shorting constraint

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Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

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Time-consistent mean-variance portfolio selection in discrete and continuous time

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Continuous-Time Markowitz's Model with Transaction Costs

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Discrete time market with serial correlations and optimal myopic strategies

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Portfolio optimization in a regime-switching market with derivatives

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Improved Portfolio Choice Using Second-Order Stochastic Dominance*

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A geometric approach to multiperiod mean variance optimization of assets and liabilities

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Multiperiod mean-variance efficient portfolios with endogenous liabilities

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences

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Risk Aversion in the Small and in the Large

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On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability

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Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach

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Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market

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Time-consistent strategies for a multiperiod mean-variance portfolio selection problem

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Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow

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Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk

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Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

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Identifiers

zbMATH Open document ID

1369.91170

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DOI

10.1016/j.insmatheco.2016.03.002

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:320296

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2016.03.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2305419388
@@ Property / OpenAlex ID: W2305419388 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5618987
@@ Property / cites work: Q5618987 / rank @@
+Normal rank
@@ Property / cites work @@
+Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
+Normal rank
@@ Property / cites work @@
+Portfolio selection with hyperexponential utility functions
+Normal rank
@@ Property / cites work @@
+Multi-period portfolio optimization with linear control policies
+Normal rank
@@ Property / cites work @@
+An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Portfolio selection in stochastic markets with exponential utility functions
+Normal rank
@@ Property / cites work @@
+Portfolio selection in stochastic markets with HARA utility functions
+Normal rank
@@ Property / cites work @@
+Portfolio selection with imperfect information: A hidden Markov model
+Normal rank
@@ Property / cites work @@
+Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
+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 @@
+Optimal multi-period mean-variance policy under no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio selection in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Continuous-Time Markowitz's Model with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Discrete time market with serial correlations and optimal myopic strategies
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in a regime-switching market with derivatives
+Normal rank
@@ Property / cites work @@
+Improved Portfolio Choice Using Second-Order Stochastic Dominance*
+Normal rank
@@ Property / cites work @@
+A geometric approach to multiperiod mean variance optimization of assets and liabilities
+Normal rank
@@ Property / cites work @@
+Multiperiod mean-variance efficient portfolios with endogenous liabilities
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
+Normal rank
@@ Property / cites work @@
+Risk Aversion in the Small and in the Large
@@ Property / cites work: Risk Aversion in the Small and in the Large / rank @@
+Normal rank
@@ Property / cites work @@
+On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
+Normal rank
@@ Property / cites work @@
+Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
+Normal rank
@@ Property / cites work @@
+Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
+Normal rank
@@ Property / cites work @@
+Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
+Normal rank
@@ Property / cites work @@
+Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank