Multiperiod mean-variance efficient portfolios with endogenous liabilities

DOI10.1080/14697680902950813MaRDI QIDQ4911228zbMATH OpenOpenAlexFDO

Authors Markus Leippold, Fabio Trojani, 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

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

Recommendations

• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Continuous-time mean-variance asset-liability management with endogenous liabilities
• Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability
• Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
• A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints

Cites work

• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• A stochastic programming model for asset liability management of a Finnish pension company
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Dynamic asset allocation in a mean-variance framework
• Dynamic stochastic programming for asset-liability management
• Linking strategic and tactical planning systems for asset and liability management
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Mean-variance hedging in continuous time
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolio choice under a liability constraint
• Short Term Financial Planning under Uncertainty
• The AURORA financial management system: Model and parallel implementation design
• Variance-Optimal Hedging in Discrete Time

Cited in

(11)

• 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
• Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
• Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
• 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
• Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Time-consistent strategy for a multi-period mean-variance asset-liability management problem with stochastic interest rate
• Continuous-time mean-variance asset-liability management with endogenous liabilities
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature

This page was built for publication: Multiperiod mean-variance efficient portfolios with endogenous liabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4911228)