Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
From MaRDI portal
Publication:2375686
DOI10.1155/2013/841627zbMath1266.91096OpenAlexW2166040369WikidataQ59004787 ScholiaQ59004787MaRDI QIDQ2375686
Publication date: 14 June 2013
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2013/841627
Related Items (18)
Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model ⋮ Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion ⋮ Multiperiod mean-standard-deviation time consistent portfolio selection ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Equilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk tolerance ⋮ 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 ⋮ Hybrid strategy in multiperiod mean-variance framework ⋮ Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset ⋮ Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework ⋮ Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk ⋮ Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION ⋮ Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems ⋮ Nash equilibrium strategies for a defined contribution pension management
Cites Work
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Continuous time mean variance asset allocation: a time-consistent strategy
- Investment and consumption without commitment
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- On the Existence of a Consistent Course of Action when Tastes are Changing
This page was built for publication: Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
