Multi-period mean variance portfolio selection under incomplete information

DOI10.1002/ASMB.2191MaRDI QIDQ4620169zbMATHOpenAlexFDO

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

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)

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Cited in

(15)

• Multi-period portfolio selection with hidden Markov regime switching and stochastic investment horizon
• Equilibrium investment strategy for a DC pension plan with learning about stock return predictability
• Portfolio selection under incomplete information
• Pre-commitment and equilibrium investment strategies for the DC pension plan with regime switching and a return of premiums clause
• Portfolio selection with imperfect information: a hidden Markov model
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• scientific article; zbMATH DE number 2219397 (Why is no real title available?)
• Robust asset allocation with conditional value at risk using the forward search
• Optimal harvesting policy of an inland fishery resource under incomplete information
• Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
• Asset allocation for a DC pension plan with learning about stock return predictability
• Optimal investment management for a defined contribution pension fund under imperfect information
• Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
• Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
• A bounded risk strategy for a market with non-observable parameters.

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