Multi-period mean variance portfolio selection under incomplete information

DOI10.1002/ASMB.2191zbMATH Open1420.91437OpenAlexW2523133803MaRDI QIDQ4620169FDOQ4620169

Authors: Ling Zhang, Yunhui Xu, Yongwu Li, Zhongfei Li 

Publication date: 8 February 2019

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.2191

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zbMATH Keywords

hidden Markov chainregime switchingportfolio optimizationsufficient statistics

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Dynamic programming (90C39) Portfolio theory (91G10)

Cited In (14)

• Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
• Robust asset allocation with conditional value at risk using the forward search
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
• Multi-period portfolio selection with hidden Markov regime switching and stochastic investment horizon
• Optimal investment management for a defined contribution pension fund under imperfect information
• Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Title not available (Why is that?)
• Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
• Asset allocation for a DC pension plan with learning about stock return predictability
• Portfolio selection under incomplete information
• Portfolio selection with imperfect information: a hidden Markov model
• Optimal harvesting policy of an inland fishery resource under incomplete information
• A bounded risk strategy for a market with non-observable parameters.

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