Static Markowitz mean-variance portfolio selection model with long-term bonds

DOI10.3934/NACO.2022030MaRDI QIDQ6164093zbMATH OpenOpenAlexFDO

Authors Dennis Ikpe, Romeo Mawonike, Frederi Viens

Publication date 26 July 2023

Published in Numerical Algebra, Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/naco.2022030

zbMATH Keywords

bond portfolioMarkowitz modelmulti-factorSharpe ratioterm structure modelVasicek modelzero-coupon bonds

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond portfolio optimization
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Dynamic asset allocation in a mean-variance framework
• Financial derivative and energy market valuation. Theory and implementation in MATLAB
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• Mean-variance portfolio optimization with state-dependent risk aversion
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Portfolio selection with robust estimation

Cited in

(2)

• Robust stock and bond allocation with end-of-horizon effects
• A mean/variance approach to long-term fixed-income portfolio allocation

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