Multi-period optimization portfolio with bankruptcy control in stochastic market
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Cites work
- scientific article; zbMATH DE number 3748742 (Why is no real title available?)
- scientific article; zbMATH DE number 1247838 (Why is no real title available?)
- Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Portfolio optimization in stochastic markets
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
- Risk sensitive control of finite state Markov chains in discrete time, with applications to portfolio management
- Stock trading: an optimal selling rule
Cited in
(37)- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
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- Multi-stage stochastic model in portfolio selection problem
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- Optimal investment with noise trading risk
- Mean-risk portfolio management with bankruptcy prohibition
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Dynamic portfolio optimization under multi-factor model in stochastic markets
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- Optimal control with constrained total variance for Markov jump linear systems with multiplicative noises
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- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques
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- Credibilistic multi-period portfolio optimization based on scenario tree
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- Rovina, assicurazione e scambi di attività finanziarie
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- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- Multi-period mean-variance portfolio selection in a regime-switching market with a bankruptcy state and a state-dependent uncertain exit-time
- Bankruptcy prevention in multiperiod Markowitz optimization problem
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- A new fuzzy programming approach for multi-period portfolio optimization with return demand and risk control
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- Portfolio optimization: a mean-variance approach for non-Markovian regime-switching markets
- 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
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