Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
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Cites work
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- Markowitz revisited: mean-variance models in financial portfolio analysis
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Portfolio optimization in stochastic markets
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
Cited in
(47)- Uncertain exit time multi-period mean-variance portfolio selection with endogenous liabilities and Markov jumps
- Portfolio selection in the enlarged Markovian regime-switching market
- Multi-period portfolio selection with hidden Markov regime switching and stochastic investment horizon
- Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
- Mean-variance portfolio selection under a non-Markovian regime-switching model
- Portfolio selection based on a benchmark process with dynamic value-at-risk constraints
- Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
- Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
- Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state and a state-dependent uncertain exit-time
- Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
- Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
- Robust optimal portfolio choice under Markovian regime-switching model
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Multiperiod Telser's safety-first portfolio selection with regime switching
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state
- Portfolio strategy of financial market with regime switching driven by geometric Lévy process
- Portfolio selection with jumps under regime switching
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Mean-variance portfolio selection with regime switching under shorting prohibition
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- Study on investing strategies of mean-variance selection with a stochastic cash flow and random time horizon
- A multi-period mean-variance portfolio selection with serially correlated returns of risky assets
- Optimal policy for a time consistent mean-variance model with regime switching
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- 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
- Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- 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
- 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 Telser's safety-first portfolio selection problem in a defined contribution pension plan
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
- A random parameter model for continuous-time mean-variance asset-liability management
- Mean-variance portfolio selection under regime-switching diffusion asset models: a two-time-scale limit
- A nonlinear interval portfolio selection model and its application in banks
- Optimal long-term Tier 1 employee pension management with an application to Chinese urban areas
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- Log mean-variance portfolio selection under regime switching
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Multi-time state mean-variance model in continuous time
- Stochastic maximum principle for optimal control problem with a stopping time cost functional
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