Buy-and-hold mean-variance portfolios with a random exit strategy

DOI10.1080/14697688.2017.1372619MaRDI QIDQ4554501zbMATH OpenOpenAlexFDO

Authors Cheng-Der Fuh, Sheng-Feng Luo

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2017.1372619

zbMATH Keywords

Sharpe ratioportfolio selectionrandom horizonmultivariate renewal theory

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cites work

• scientific article; zbMATH DE number 3766893 (Why is no real title available?)
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• Continuous-time mean-variance efficiency: the 80\% rule
• Multivariate sequential analysis with linear boundaries
• On Deriving the Inverse of a Sum of Matrices
• Optimal investment decisions when time-horizon is uncertain
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio problems stopping at first hitting time with application to default risk
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Thou shalt buy and hold
• Utility Maximization with Discretionary Stopping

Cited in

(1)

• The effect of exit strategy on optimal portfolio selection with birandom returns

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