Bankruptcy prevention in multiperiod Markowitz optimization problem

DOI10.3103/S0278641916020084MaRDI QIDQ344024zbMATH OpenFDO

Authors Alexey Soloviev, Hongwei Gao

Publication date 22 November 2016

Published in Moscow University Computational Mathematics and Cybernetics (Search for Journal in Brave)

zbMATH Keywords

quadratic programmingarbitrage-free marketsbankruptcyinvestment portfolio optimizationMarkowitz problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Multi-period optimization portfolio with bankruptcy control in stochastic market
• Multi-period portfolio optimization for asset-liability management with bankrupt control
• Mean-risk portfolio management with bankruptcy prohibition
• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

Cites work

• Martingales and arbitrage in multiperiod securities markets
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation

Cited in

(5)

• Mean-risk portfolio management with bankruptcy prohibition
• Multi-period portfolio optimization for asset-liability management with bankrupt control
• Rovina, assicurazione e scambi di attività finanziarie
• Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
• Bankruptcy in long-term investments

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