Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon

MaRDI QIDQ5277451zbMATH OpenFDO

Authors Xue Liang, Wenhao Fu, ChenXi Lu

Publication date 14 July 2017

zbMATH Keywords

dynamic planninginvesting strategiesM-V modelstochastic cash flow

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Recommendations

• Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
• Portfolio optimization with random parameters and stochastic cash flow for quadratic utility maximization
• Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows

Cited in

(5)

• An evaluation of some popular investment strategies under stochastic interest rates
• Global-asset portfolio decision optimization with random parameters in the framework of LQ theory
• Portfolio optimization with random parameters and stochastic cash flow for quadratic utility maximization
• Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
• Optimal net investment wealth with discounted stochastic cash flows and efficient frontier

This page was built for publication: Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5277451)