Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
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- scientific article; zbMATH DE number 1642351
Cites work
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- Mean-variance hedging on uncertain time horizon in a market with a jump
- Multidimensional Backward Stochastic Riccati Equations and Applications
- On well-posedness of forward-backward SDEs -- a unified approach
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal investment decisions when time-horizon is uncertain
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- Time-inconsistent stochastic linear-quadratic control
- Utility maximization in incomplete markets
Cited in
(25)- Equilibrium strategies for the mean-variance investment problem over a random horizon
- 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
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- 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
- 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
- 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
- Equilibrium multi-agent model with heterogeneous views on fundamental risks
- 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
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- 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
- scientific article; zbMATH DE number 1642351 (Why is no real title available?)
- A general linear quadratic stochastic control and information value
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