Equilibrium strategies for the mean-variance investment problem over a random horizon
From MaRDI portal
Publication:4553802
DOI10.1137/17M1153479zbMATH Open1416.91354WikidataQ129326292 ScholiaQ129326292MaRDI QIDQ4553802FDOQ4553802
David Landriault, Virginia R. Young, Bin Li, Danping Li
Publication date: 31 October 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Recommendations
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- Continuous-time mean-variance portfolio selection with random horizon
- Time-consistent mean-variance asset-liability management with random coefficients
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- Time consistent stopping for the mean-standard deviation problem -- the discrete time case
Cites Work
- Implications of the Sharpe ratio as a performance measure in multi-period settings
- Optimum consumption and portfolio rules in a continuous-time model
- Dynamic mean-variance problem with constrained risk control for the insurers
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Investment and consumption without commitment
- Optimal investment decisions when time-horizon is uncertain
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Risk Aversion in the Small and in the Large
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Continuous-time mean-variance portfolio selection with random horizon
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
- Benchmark and mean-variance problems for insurers
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Asset and liability management under a continuous-time mean-variance optimization framework
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
Cited In (21)
- 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
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Bowley solution of a mean-variance game in insurance
- Dynamic asset-liability management problem in a continuous-time model with delay
- Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents
- Nonlocality, nonlinearity, and time inconsistency in stochastic differential games
- PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
- Stackelberg differential game for insurance under model ambiguity
- Time-inconsistent contract theory
- Multiperiod Mean Conditional Value at Risk Asset Allocation: Is It Advantageous to Be Time Consistent?
- Optimal Asset Allocation for Retirement Saving: Deterministic Vs. Time Consistent Adaptive Strategies
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Stackelberg differential game for reinsurance: mean-variance framework and random horizon
- Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application
- On quadratic multidimensional type-I BSVIEs, infinite families of BSDEs and their applications
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
This page was built for publication: Equilibrium strategies for the mean-variance investment problem over a random horizon
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4553802)
