Multiperiod mean-variance optimization with intertemporal restrictions

DOI10.1007/s10957-007-9233-xzbMath1190.90272OpenAlexW2012698672MaRDI QIDQ2471098

Oswaldo L. V. Costa, R. B. Nabholz

Publication date: 18 February 2008

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-007-9233-x

zbMATH Keywords

portfolio selectionintermediate restrictions

Mathematics Subject Classification ID

Stochastic programming (90C15) Programming in abstract spaces (90C48) Portfolio theory (91G10)

Related Items (11)

Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Discrete-time mean variance optimal control of linear systems with Markovian jumps and multiplicative noise ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow ⋮ Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises ⋮ 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 ⋮ Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions ⋮ Multi-period optimal investment choice post-retirement with inter-temporal restrictions in a defined contribution pension plan ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ A generalized multi-period mean-variance portfolio optimization with Markov switching parameters ⋮ A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises

Cites Work

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• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
• Robust portfolio selection using linear-matrix inequalities
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