Multiperiod mean-variance efficient portfolios with endogenous liabilities

DOI10.1080/14697680902950813zbMath1258.91199OpenAlexW2122795893MaRDI QIDQ4911228

Fabio Trojani, Markus Leippold, Paolo Vanini

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680902950813

zbMATH Keywords

risk managementstrategic allocationcontrol and optimizationasset liability modellingcalculus in finance

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (9)

Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Portfolio selection with liability and affine interest rate in the HARA utility framework ⋮ Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate ⋮ A geometric approach to multiperiod mean variance optimization of assets and liabilities ⋮ Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate

Cites Work

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• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Dynamic Asset Allocation in a Mean-Variance Framework
• Short Term Financial Planning under Uncertainty
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Variance-Optimal Hedging in Discrete Time
• The AURORA financial management system: Model and parallel implementation design

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