Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
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Publication:414601
DOI10.1016/j.insmatheco.2012.01.003zbMath1237.91210OpenAlexW1972180498MaRDI QIDQ414601
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
dynamic programmingregime switchingefficient frontiermean-variance portfolio selectionstochastic cash flownon-self-financing
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Cites Work
- Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Multiperiod mean-variance optimization with intertemporal restrictions
- Portfolio optimization in stochastic markets
- Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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