Multi-period optimization portfolio with bankruptcy control in stochastic market
From MaRDI portal
Publication:876610
DOI10.1016/J.AMC.2006.07.108zbMATH Open1185.91168OpenAlexW2081078325MaRDI QIDQ876610FDOQ876610
Publication date: 26 April 2007
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2006.07.108
Recommendations
- Dynamic portfolio optimization under multi-factor model in stochastic markets
- Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state
- Multi-period portfolio optimization for asset-liability management with bankrupt control
- Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state and a state-dependent uncertain exit-time
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
Cites Work
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Stock trading: an optimal selling rule
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Title not available (Why is that?)
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Title not available (Why is that?)
- Portfolio optimization in stochastic markets
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
Cited In (30)
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Multi-stage stochastic model in portfolio selection problem
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Optimal investment with noise trading risk
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Multiperiod mean absolute deviation fuzzy portfolio selection model with risk control and cardinality constraints
- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Credibilistic multi-period portfolio optimization based on scenario tree
- Fuzzy multi-period portfolio selection with different investment horizons
- An integrated multi-objective framework for solving multi-period project selection problems
- Multi-period portfolio optimization for asset-liability management with bankrupt control
- Rovina, assicurazione e scambi di attività finanziarie
- A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Optimal investment policy in a multi-stage problem with bankruptcy and stage-by-stage probability constraints
- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
- Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
- Multi‐period mean‐variance portfolio selection in a regime‐switching market with a bankruptcy state
- Optimal investment-consumption strategy under inflation in a Markovian regime-switching market
- Time consistent policy of multi-period mean-variance
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- An analytic solution for multi-period uncertain portfolio selection problem
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
This page was built for publication: Multi-period optimization portfolio with bankruptcy control in stochastic market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q876610)
