Optimal portfolio selection with liability management and Markov switching under constrained variance
From MaRDI portal
Publication:636696
DOI10.1016/j.camwa.2010.09.045zbMath1219.91129MaRDI QIDQ636696
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
Markov switching; portfolio selection; mean-variance model; constrained variance; liability management
91G10: Portfolio theory
Related Items
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
