The impact of general correlation under multi-period mean-variance asset-liability portfolio management
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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
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Asset-liability management under the safety-first principle
- Autocorrelated Returns and Optimal Intertemporal Portfolio Choice
- Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise
- scientific article; zbMATH DE number 1869269 (Why is no real title available?)
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- On continuous-time constrained stochastic linear-quadratic control
- On noninferior performance index vectors
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Optimal multi-period mean-variance policy under no-shorting constraint
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Stochastic control for multiperiod mean-variance asset-liability management
- The premium of dynamic trading
- The premium of dynamic trading in a discrete-time setting
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
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