Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
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Publication:414601
DOI10.1016/J.INSMATHECO.2012.01.003zbMATH Open1237.91210OpenAlexW1972180498MaRDI QIDQ414601FDOQ414601
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
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Cites Work
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Multiperiod mean-variance optimization with intertemporal restrictions
- 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
- Portfolio optimization in stochastic markets
Cited In (34)
- 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
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Multiperiod mean semi-absolute deviation interval portfolio selection with entropy constraints
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- Multiperiod mean-standard-deviation time consistent portfolio selection
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
- Asset allocation under multivariate regime switching
- Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Mean-Variance Asset Liability Management with State-Dependent Risk Aversion
- Multiperiod mean absolute deviation uncertain portfolio selection with real constraints
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Equilibrium strategy for multi-period mean-variance asset-liability management with regime switching and a stochastic cash flow
- Instantaneous mean-variance hedging and Sharpe ratio pricing in a regime-switching financial model
- Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon
- The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market
- Recursive risk measures under regime switching applied to portfolio selection
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Multiperiod credibilitic mean semi-absolute deviation portfolio selection
- Dynamic portfolio choice without cash
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Optimal net investment wealth with discounted stochastic cash flows and efficient frontier
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Portfolio strategy of financial market with regime switching driven by geometric Lévy process
- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Survey on multi-period mean-variance portfolio selection model
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