Dynamic asset–liability management in a Markov market with stochastic cash flows (Q4554228): Difference between revisions

@@ Property / cites work @@
+Pricing stock and bond derivatives with a multi-factor Gaussian model
+Normal rank
@@ Property / cites work @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+Age-dependent investing: optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners
+Normal rank
@@ Property / cites work @@
+Corporate credit risk prediction under stochastic volatility and jumps
+Normal rank
@@ Property / cites work @@
+Portfolio selection in stochastic markets with HARA utility functions
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection of cointegrated assets
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management: cointegrated assets and insurance liability
+Normal rank
@@ Property / cites work @@
+A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
+Normal rank
@@ Property / cites work @@
+Optimal multi-period mean-variance policy under no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Monte Carlo computation of optimal portfolios in complete markets
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+A risk-based approach for pricing American options under a generalized Markov regime-switching model
+Normal rank
@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
+Normal rank
@@ Property / cites work @@
+A Regime-Switching Model of Long-Term Stock Returns
+Normal rank
@@ Property / cites work @@
+Strategic asset allocation with liabilities: beyond stocks and bonds
+Normal rank
@@ Property / cites work @@
+Optimal portfolio choice for unobservable and regime-switching mean returns
+Normal rank
@@ Property / cites work @@
+Optimal dividend distribution under Markov regime switching
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+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 @@
+Dynamic portfolio choice under ambiguity and regime switching mean returns
+Normal rank
@@ Property / cites work @@
+Optimal Investment
@@ Property / cites work: Optimal Investment / rank @@
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Intertemporal surplus management
@@ Property / cites work: Intertemporal surplus management / rank @@
+Normal rank
@@ Property / cites work @@
+On efficiency of mean–variance based portfolio selection in defined contribution pension schemes
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
+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 @@
+Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance asset-liability management with endogenous liabilities
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank
@@ Property / cites work @@
+Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
+Normal rank