Pages that link to "Item:Q951516"

The following pages link to A geometric approach to multiperiod mean variance optimization of assets and liabilities (Q951516):

Displaying 50 items.

• On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (Q319811) (← links)
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows (Q320296) (← links)
• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach (Q322571) (← links)
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
• Multi-period portfolio optimization for asset-liability management with bankrupt control (Q387508) (← links)
• Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow (Q414601) (← links)
• A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
• Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework (Q508009) (← links)
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (Q545457) (← links)
• Continuous time mean variance asset allocation: a time-consistent strategy (Q621709) (← links)
• Optimal portfolio selection with liability management and Markov switching under constrained variance (Q636696) (← links)
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market (Q646757) (← links)
• Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108) (← links)
• Aggregate stock market behavior and investors' low risk aversion (Q844720) (← links)
• Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (Q846513) (← links)
• Asset-liability management under the safety-first principle (Q846949) (← links)
• Asset and liability management under a continuous-time mean-variance optimization framework (Q860504) (← links)
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach (Q931178) (← links)
• Pension funds as institutions for intertemporal risk transfer (Q931188) (← links)
• Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability (Q943498) (← links)
• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters (Q1004111) (← links)
• Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion (Q1655930) (← links)
• A random parameter model for continuous-time mean-variance asset-liability management (Q1666339) (← links)
• Time-consistent mean-variance asset-liability management with random coefficients (Q1681089) (← links)
• Optimal dynamic asset-liability management with stochastic interest rates and inflation risks (Q1681707) (← links)
• Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility (Q1697216) (← links)
• Optimal dynamic mean-variance asset-liability management under the Heston model (Q1712605) (← links)
• A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints (Q1716940) (← links)
• Continuous-time mean-variance asset-liability management with hidden Markovian regime switching (Q1717734) (← links)
• Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset (Q1721408) (← links)
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052) (← links)
• Simplified mean-variance portfolio optimisation (Q1938980) (← links)
• Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises (Q1941253) (← links)
• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate (Q1983698) (← links)
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market (Q2064422) (← links)
• Credibilistic multi-period portfolio optimization based on scenario tree (Q2148251) (← links)
• Portfolio optimization with asset-liability ratio regulation constraints (Q2173693) (← links)
• Mean-variance asset-liability management problem under non-Markovian regime-switching models (Q2187333) (← links)
• Portfolio theory for squared returns correlated across time (Q2296080) (← links)
• On the equivalence of quadratic optimization problems commonly used in portfolio theory (Q2355895) (← links)
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks (Q2407990) (← links)
• Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach (Q2446009) (← links)
• Multiperiod mean-variance optimization with intertemporal restrictions (Q2471098) (← links)
• Incomplete information equilibria: separation theorems and other myths (Q2480220) (← links)
• Mean-variance portfolio selection in presence of infrequently traded stocks (Q2514715) (← links)
• Investment strategies and compensation of a mean-variance optimizing fund manager (Q2514727) (← links)
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model (Q2518552) (← links)
• Mean-variance asset-liability management under constant elasticity of variance process (Q2520428) (← links)
• Convergence of the embedded mean-variance optimal points with discrete sampling (Q2634609) (← links)
• Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem (Q2661546) (← links)