Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Finite dimensional optimal filters for a class of ltô- processes with jumping parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Pricing exotic options under regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment-consumption strategy in a discrete-time model with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset and liability management under a continuous-time mean-variance optimization framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asset and liability modelling for participating policies with guarantees / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4032143 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Geometric Brownian Motion Models for Assets and Liabilities: From Pension Funding to Optimal Dividends / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3613975 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio and contribution selection in stochastic pension funding / rank
 
Normal rank
Property / cites work
 
Property / cites work: Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: A geometric approach to multiperiod mean variance optimization of assets and liabilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-Variance Portfolio Selection with Random Parameters in a Complete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4139359 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Convex Programming and Duality in Normed Space / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ruin problems with assets and liabilities of diffusion type / rank
 
Normal rank
Property / cites work
 
Property / cites work: A game theoretic approach to option valuation under Markovian regime-switching models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4255599 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stock Trading: An Optimal Selling Rule / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model / rank
 
Normal rank

Latest revision as of 21:09, 4 July 2024

scientific article
Language Label Description Also known as
English
Continuous-time mean-variance portfolio selection with liability and regime switching
scientific article

    Statements

    Continuous-time mean-variance portfolio selection with liability and regime switching (English)
    0 references
    0 references
    10 February 2012
    0 references
    continuous-time
    0 references
    mean
    0 references
    variance model
    0 references
    asset-liability management
    0 references
    Markov chain
    0 references
    linear-quadratic control
    0 references
    0 references
    0 references
    0 references
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references