Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
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Publication:545457
DOI10.1007/S11424-011-9184-ZzbMATH Open1231.91415OpenAlexW4366453418MaRDI QIDQ545457FDOQ545457
Publication date: 22 June 2011
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-011-9184-z
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Cites Work
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- Markowitz revisited: mean-variance models in financial portfolio analysis
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
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- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Portfolio optimization in stochastic markets
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
Cited In (31)
- Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Robust optimal portfolio choice under Markovian regime-switching model
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Multi-time state mean-variance model in continuous time
- Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- A nonlinear interval portfolio selection model and its application in banks
- Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
- Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
- Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
- Mean-Variance Portfolio Selection under a Non-Markovian Regime-Switching Model: Time-Consistent Solutions
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Stochastic maximum principle for optimal control problem with a stopping time cost functional
- A random parameter model for continuous-time mean-variance asset-liability management
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Portfolio strategy of financial market with regime switching driven by geometric Lévy process
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
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