Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow

DOI10.1016/J.INSMATHECO.2012.01.003MaRDI QIDQ414601zbMATH OpenOpenAlexFDO

Authors Huiling Wu, Zhongfei Li

Publication date 11 May 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2012.01.003

zbMATH Keywords

regime switchingdynamic programmingefficient frontiermean-variance portfolio selectionstochastic cash flownon-self-financing

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Multiperiod mean-variance optimization with intertemporal restrictions
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Portfolio optimization in stochastic markets
• Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation

Cited in

(34)

• Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
• Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
• Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
• Mean-variance portfolio selection under a non-Markovian regime-switching model
• Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• Recursive risk measures under regime switching applied to portfolio selection
• Multiperiod Telser's safety-first portfolio selection with regime switching
• Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
• Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
• Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
• Portfolio strategy of financial market with regime switching driven by geometric Lévy process
• Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
• Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Optimal net investment wealth with discounted stochastic cash flows and efficient frontier
• Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon
• Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
• Equilibrium strategy for multi-period mean-variance asset-liability management with regime switching and a stochastic cash flow
• Multiperiod credibilitic mean semi-absolute deviation portfolio selection
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
• Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
• Dynamic portfolio choice without cash
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
• Dynamic asset-liability management in a Markov market with stochastic cash flows
• Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
• Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
• 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
• Survey on multi-period mean-variance portfolio selection model
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
• Asset allocation under multivariate regime switching
• Multiperiod mean-standard-deviation time consistent portfolio selection
• Multiperiod mean absolute deviation uncertain portfolio selection with real constraints

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