Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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Cited in
(only showing first 100 items - show all)- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Robust optimal portfolio choice under Markovian regime-switching model
- Asymptotic properties of parabolic systems for null-recurrent switching diffusions
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
- Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
- Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization
- Optimal dividend payment strategies with debt constraint in a hybrid regime-switching jump-diffusion model
- Mean-variance optimization of discrete time discounted Markov decision processes
- Continuous-time Markowitz's model with constraints on wealth and portfolio
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Continuous-time mean-variance portfolio selection under the CEV process
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint
- Mean-variance portfolio selection with regime switching under shorting prohibition
- Markowitz problem for a case of random environment existence
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A new tree method for pricing financial derivatives in a regime-switching mean-reverting model
- A mean-variance optimization problem for discounted Markov decision processes
- HARA frontiers of optimal portfolios in stochastic markets
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Portfolio selection with jumps under regime switching
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Nonzero-sum impulse games with regime switching
- Open-loop solvability for mean-field stochastic linear quadratic optimal control problems of Markov regime-switching system
- Mean-variance portfolio selection with dynamic attention behavior in a hidden Markov model
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Hybrid optimal impulse control
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
- The Dynkin game with regime switching and applications to pricing game options
- Long term optimal investment with regime switching: inflation, information and short sales
- The maximum principle for stochastic control problem with Markov chain in progressive structure
- Two-player zero-sum stochastic differential games with regime switching
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Finite difference methods for the Hamilton-Jacobi-Bellman equations arising in regime switching utility maximization
- A general stochastic maximum principle for mean-field controls with regime switching
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
- Optimal convergence trading with unobservable pricing errors
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Commuting birth-and-death processes
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Classical and singular stochastic control for the optimal dividend policy when there is regime switching
- Optimal portfolio execution problem with stochastic price impact
- On laws of large numbers for systems with mean-field interactions and Markovian switching
- A lattice-based approach to option and bond valuation under mean-reverting regime-switching diffusion processes
- Portfolio selection with regime-switching and state-dependent preferences
- Convergence rates of trinomial tree methods for option pricing under regime-switching models
- Razumikhin-type theorems on moment exponential stability of functional differential equations involving two-time-scale Markovian switching
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Laplace transform methods for a free boundary problem of time-fractional partial differential equation system
- Optimization of Markov decision processes under the variance criterion
- Time-inconsistent optimal control problems with regime-switching
- Continuous-time mean-variance portfolio selection with random horizon
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Optimal investment and consumption when regime transitions cause price shocks
- A lattice method for option pricing with two underlying assets in the regime-switching model
- Weak convergence of Markov-modulated diffusion processes with rapid switching
- Regularity and recurrence of switching diffusions
- Multiperiod mean-variance optimization with intertemporal restrictions
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Mean-variance asset-liability management under constant elasticity of variance process
- Portfolio selection in a two-regime world
- Optimal credit investment and risk control for an insurer with regime-switching
- A note on monotone mean-variance preferences for continuous processes
- Cloud-assisted privacy-conscious large-scale Markowitz portfolio
- Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
- On the monotonicity property of the generalized eigenvalue for weakly-coupled cooperative elliptic systems
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
- Mean-variance portfolio selection with random investment horizon
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Optimal inventory control with path-dependent cost criteria
- A stochastic flows approach for asset allocation with hidden economic environment
- Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Maximum principle for optimal control of anticipated forward-backward stochastic differential delayed systems with regime switching
- An HMM approach for optimal investment of an insurer
- A finite-horizon optimal investment and consumption problem using regime-switching models
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- Continuous-time mean-variance optimal portfolio selection with regime switching when stock prices follow geometric Levy processes
- Sufficient Stochastic Maximum Principle for the Optimal Control of Semi-Markov Modulated Jump-Diffusion with Application to Financial Optimization
- Applications of Numerical Methods for Stochastic Controlled Switching Diffusions with a Hidden Markov Chain: Case Studies on Distributed Power Management and Communication Resource Allocation
- Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions
- A numerical method for annuity-purchasing decision making to minimize the probability of financial ruin for regime-switching wealth models
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- An optimal investment and consumption model with stochastic returns
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