Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
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Publication:322987
DOI10.1016/J.EJOR.2016.01.049zbMATH Open1346.91224OpenAlexW2279261036WikidataQ57445404 ScholiaQ57445404MaRDI QIDQ322987FDOQ322987
Haixiang Yao, Duan Li, Zhongfei 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
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dynamic programmingLagrangian dualitymulti-period mean-variance portfolio selectionstochastic interest rateuncontrollable liability
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)
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
- Distributionally robust multi-period portfolio selection subject to bankruptcy constraints
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Long horizon predictability: an asset allocation perspective
- Optimal investment management for a defined contribution pension fund under imperfect information
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Equilibrium investment strategy for multi-period DC pension funds with stochastic interest rate and regime switching
- Time-consistent investment strategies for a DC pension member with stochastic interest rate and stochastic income
- Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Fuzzy multi-period portfolio selection with different investment horizons
- Optimal dynamic longevity hedge with basis risk
- Behavioral mean-variance portfolio selection
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Understanding dynamic mean variance asset allocation
- Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Fuzzy multi-period portfolio selection model with discounted transaction costs
- Some properties of the maximum loss on loan portfolios
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