Dynamic Asset Allocation in a Mean-Variance Framework
From MaRDI portal
Publication:2784078
DOI10.1287/mnsc.44.11.S79zbMath0999.91037MaRDI QIDQ2784078
Roland Portrait, Isabelle Bajeux-Besnainou
Publication date: 17 April 2002
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/mnsc.44.11.s79
90B50: Management decision making, including multiple objectives
Related Items
Optimal reinsurance problems with extrapolative claim expectation, Multiperiod mean-variance efficient portfolios with endogenous liabilities, Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth, Mean–variance efficiency with extended CIR interest rates, MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION, Investing for Retirement, Dynamic asset allocation with mean variance preferences and a solvency constraint, QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION, QUANTIFYING THE IMPACT OF PARTIAL INFORMATION ON SHARPE RATIO OPTIMIZATION, Optimal asset allocation under search frictions and stochastic interest rate, Static Markowitz mean-variance portfolio selection model with long-term bonds, Understanding dynamic mean variance asset allocation, Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach, Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks, Implications of the Sharpe ratio as a performance measure in multi-period settings, Model predictive control of systems with random dependent parameters under constraints and its application to the investment portfolio optimization, Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability, Optimal portfolio management with American capital guarantee, Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix, Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences, Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework, Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model, A varying terminal time mean-variance model, Optimal portfolio selection of mean-variance utility with stochastic interest rate, Portfolio theory for squared returns correlated across time, Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns, Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion, Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework, Credibilitic mean-variance model for multi-period portfolio selection problem with risk control, Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate, Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem, Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model, Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints, On efficiency of mean–variance based portfolio selection in defined contribution pension schemes, The premium of dynamic trading, Stochastic differential portfolio games with Duffie‐Kan interest rate, An optimal investment strategy in bank management
Uses Software
