Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
From MaRDI portal
Publication:320296
DOI10.1016/J.INSMATHECO.2016.03.002zbMATH Open1369.91170OpenAlexW2305419388MaRDI QIDQ320296FDOQ320296
Authors: Zhongbao Zhou, Helu Xiao, Jialing Yin, Ximei Zeng, Ling Lin 
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.002
Recommendations
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Precommitted investment strategy versus time-consistent investment strategy for a general risk model with diffusion
portfolio choiceexponential utilitypre-commitment strategystochastic cash flowstime-consistent strategy
Cites Work
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Title not available (Why is that?)
- Risk Aversion in the Small and in the Large
- Mean-variance portfolio optimization with state-dependent risk aversion
- Multi-period portfolio optimization with linear control policies
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Portfolio selection with imperfect information: a hidden Markov model
- Portfolio selection in stochastic markets with HARA utility functions
- Portfolio optimization in a regime-switching market with derivatives
- Discrete time market with serial correlations and optimal myopic strategies
- Portfolio selection in stochastic markets with exponential utility functions
- Continuous-time Markowitz's model with transaction costs
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
- Markowitz's mean-variance asset-liability management with regime switching: a time-consistent approach
- Portfolio selection with hyperexponential utility functions
- Multiperiod mean-variance optimization with intertemporal restrictions
- Optimal multi-period mean-variance policy under no-shorting constraint
- Time-consistent portfolio selection under short-selling prohibition: from discrete to continuous setting
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- An Affine Control Method for Optimal Dynamic Asset Allocation with Transaction Costs
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Improved Portfolio Choice Using Second-Order Stochastic Dominance*
- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability
Cited In (12)
- On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
- Time-consistent multiperiod mean semivariance portfolio selection with the real constraints
- 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
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Optimal hedging with basis risk under mean-variance criterion
- Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns
- Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon
- Hybrid strategy in multiperiod mean-variance framework
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Performance evaluation of portfolios with fuzzy returns
This page was built for publication: Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q320296)
