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

DOI10.3934/naco.2022030zbMath1520.91371OpenAlexW4312600528MaRDI QIDQ6164093

Romeo Mawonike, Frederi G. Viens, Dennis Ikpe

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

term structure modelSharpe ratioMarkowitz modelVasicek modelbond portfoliozero-coupon bondsmulti-factor

Mathematics Subject Classification ID

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

Cites Work

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• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Bond portfolio optimization
• Dynamic Asset Allocation in a Mean-Variance Framework
• A Theory of the Term Structure of Interest Rates
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Portfolio Selection with Robust Estimation
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Financial Derivative and Energy Market Valuation
• An equilibrium characterization of the term structure
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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