Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets

DOI10.1007/S11009-019-09691-YMaRDI QIDQ2176383zbMATH OpenOpenAlexWikidataFDO

Authors Guohui Guan

Publication date 4 May 2020

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-019-09691-y

zbMATH Keywords

inflation riskinvestmentmean-variancepartially observationprecommitmenttime-consistent

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Portfolio theory (91G10)

Recommendations

• Mean‐Variance Portfolio Selection under Partial Information
• Time-consistent investment strategy under partial information
• The optimal mean variance problem with inflation
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Multi-period mean variance portfolio selection under incomplete information

Cites work

• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic mean-variance problem with constrained risk control for the insurers
• Making mean-variance hedging implementable in a partially observable market
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
• Mean-variance portfolio optimization with state-dependent risk aversion
• Nash equilibrium strategies for a defined contribution pension management
• On optimal investment for a behavioral investor in multiperiod incomplete market models
• OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
• Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty
• Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Partially observed time-inconsistent stochastic linear-quadratic control with random jumps
• Portfolio optimization in a defaultable market under incomplete information
• Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
• Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
• Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium

Cited in

(3)

• Multiple partial adjustment of portfolios under rational expectations
• Equilibrium Solutions of Multiperiod Mean-Variance Portfolio Selection
• Equilibrium contribution rate and asset allocation of DB pension plan under the CEV model

This page was built for publication: Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2176383)