Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability

DOI10.1016/J.EJOR.2016.01.049MaRDI QIDQ322987zbMATH OpenOpenAlexWikidataFDO

Authors Haixiang Yao, Zhongfei Li, Duan Li

Publication date 7 October 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2016.01.049

zbMATH Keywords

dynamic programmingLagrangian dualitymulti-period mean-variance portfolio selectionstochastic interest rateuncontrollable liability

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10) Stochastic programming (90C15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80)

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Cited in

(22)

• Optimal dynamic longevity hedge with basis risk
• A linear programming model for selection of sparse high-dimensional multiperiod portfolios
• Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
• Understanding dynamic mean variance asset allocation
• Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
• Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
• Optimal portfolio and consumption rule with a CIR model under HARA utility
• Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
• Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
• Some properties of the maximum loss on loan portfolios
• Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
• Behavioral mean-variance portfolio selection
• Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
• Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
• Optimal investment management for a defined contribution pension fund under imperfect information
• Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
• Fuzzy multi-period portfolio selection with different investment horizons
• Multi-period mean-semivariance portfolio optimization based on uncertain measure
• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
• Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
• Fuzzy multi-period portfolio selection model with discounted transaction costs
• Long horizon predictability: an asset allocation perspective

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