Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
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Publication:286277
DOI10.1016/J.AUTOMATICA.2016.02.017zbMATH Open1338.93405OpenAlexW2301659145MaRDI QIDQ286277FDOQ286277
Authors: Siyu Lv, Zhen Wu, Zhiyong Yu 
Publication date: 20 May 2016
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2016.02.017
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- scientific article; zbMATH DE number 1642351
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Linear-quadratic optimal control problems (49N10) Optimal stochastic control (93E20)
Cites Work
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- On well-posedness of forward-backward SDEs -- a unified approach
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Continuous-time mean-variance portfolio selection with random horizon
- Time-inconsistent stochastic linear-quadratic control
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Contract theory in continuous-time models
Cited In (25)
- Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Mean-variance asset-liability management with inside information
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Continuous-time portfolio selection and option pricing under risk-minimization criterion in an incomplete market
- Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
- Continuous-time mean-variance portfolio selection with random horizon
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
- Mean-variance portfolio selection with random investment horizon
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Title not available (Why is that?)
- A general linear quadratic stochastic control and information value
- Equilibrium strategies for the mean-variance investment problem over a random horizon
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