Bankruptcy prevention in multiperiod Markowitz optimization problem

DOI10.3103/S0278641916020084zbMATH Open1349.91256MaRDI QIDQ344024FDOQ344024

Authors: Alexey Soloviev, Hongwei Gao 

Publication date: 22 November 2016

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

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
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• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters

zbMATH Keywords

quadratic programmingarbitrage-free marketsbankruptcyinvestment portfolio optimizationMarkowitz problem

Mathematics Subject Classification ID

Portfolio theory (91G10)

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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