Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
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Publication:320296
DOI10.1016/J.INSMATHECO.2016.03.002zbMATH Open1369.91170OpenAlexW2305419388MaRDI QIDQ320296FDOQ320296
Jialing Yin, Zhongbao Zhou, Helu Xiao, Ling Lin, Ximei Zeng
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
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portfolio choiceexponential utilitypre-commitment strategystochastic cash flowstime-consistent strategy
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Cited In (10)
- 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
- 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
- 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
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