Multi-period portfolio selection for asset-liability management with uncertain investment horizon

DOI10.3934/JIMO.2008.4.535zbMATH Open1160.90544OpenAlexW2332336337WikidataQ57445475 ScholiaQ57445475MaRDI QIDQ1018907FDOQ1018907

Authors: Lan Yi, Zhongfei Li, Duan Li 

Publication date: 26 May 2009

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2008.4.535

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zbMATH Keywords

dynamic programmingmulti-period mean-variance formulationoptimal investment strategyasset-liability(AL) managementuncertain investment horizon

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Duality theory (optimization) (49N15)

Cited In (25)

• A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
• Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
• Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
• Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
• Portfolio optimization with uncertain exit time in infinite-time horizon
• Optimal investment decisions when time-horizon is uncertain
• Multi-period portfolio management and a simple method for calculating the realized return with transaction costs
• Bayesian filtering for multi-period mean-variance portfolio selection
• The impact of general correlation under multi-period mean-variance asset-liability portfolio management
• A risk index model for multi-period uncertain portfolio selection
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
• Multi-time state mean-variance model in continuous time
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
• Multi-period portfolio optimization for asset-liability management with bankrupt control
• Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Multi-period asset allocation by stochastic dynamic programming
• Multi-period portfolio selection with investor views based on scenario tree
• Robust multi-period and multi-objective portfolio selection
• Stochastic maximum principle for optimal control problem with a stopping time cost functional
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Continuous-time mean-variance asset-liability management with hidden Markovian regime switching

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