Multi-period mean-variance portfolio selection with a benchmark process

zbMATH Open1254.91716MaRDI QIDQ3145642FDOQ3145642

Authors: Qingxian Xiao, Limin Liu 

Publication date: 21 December 2012

Full work available at URL: http://www.m-hikari.com/ijcms/ijcms-2012/33-36-2012/index.html

Recommendations

• Dynamic mean-variance optimal portfolio selection with benchmark processes
• Dynamic mean-variance portfolio selection based on a stochastic benchmark
• Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation

zbMATH Keywords

mean-variance criterionefficient frontiercontingent claimoptimal hedging strategy

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10)

Cited In (10)

• Multiperiod mean-variance optimization with intertemporal restrictions
• Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
• Multiperiod mean-standard-deviation time consistent portfolio selection
• Stochastic linear quadratic portfolio selection problem for relative return process
• Portfolio management with benchmark related incentives under mean reverting processes
• Dynamic mean-variance optimal portfolio selection with benchmark processes
• Bayesian filtering for multi-period mean-variance portfolio selection
• Title not available (Why is that?)
• Dynamic mean-variance portfolio selection based on a stochastic benchmark
• A discrete-time benchmark tracking problem in two markets subject to random environments

This page was built for publication: Multi-period mean-variance portfolio selection with a benchmark process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3145642)