Optimal portfolio selection with liability management and Markov switching under constrained variance

DOI10.1016/j.camwa.2010.09.045zbMath1219.91129OpenAlexW2056403629MaRDI QIDQ636696

Zhicheng Li, Huisheng Shu

Publication date: 28 August 2011

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.camwa.2010.09.045

zbMATH Keywords

Markov switchingportfolio selectionmean-variance modelconstrained varianceliability management

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs ⋮ Stock market prediction and portfolio selection models: a survey

Cites Work

• Continuous-time mean-variance portfolio selection with liability and regime switching
• Asset and liability management under a continuous-time mean-variance optimization framework
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Stock Trading: An Optimal Selling Rule
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

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