Discrete time mean-variance analysis with singular second moment matrices and an exogenous liability

DOI10.1007/S10114-007-5261-6zbMATH Open1189.90185OpenAlexW1991589476MaRDI QIDQ943498FDOQ943498

Authors: Wencai Chen, Zhongxing Ye 

Publication date: 9 September 2008

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-5261-6

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zbMATH Keywords

mean-variance analysisorthogonal transformationsdynamic programming methodsexogenous liabilitysingular second moment matrices

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Dynamic programming (90C39) Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20)

Cites Work

• Title not available (Why is that?)
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
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• Mean-variance hedging for general claims
• Markowitz revisited: mean-variance models in financial portfolio analysis
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Mean-variance hedging in continuous time
• Dynamic asset allocation in a mean-variance framework
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Linear‐quadratic efficient frontiers for portfolio optimization

Cited In (3)

• Convergence of the embedded mean-variance optimal points with discrete sampling
• Multiperiod mean-variance efficient portfolios with endogenous liabilities
• Title not available (Why is that?)

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