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

DOI10.1007/S10114-007-5261-6MaRDI QIDQ943498zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic asset allocation in a mean-variance framework
• Linear‐quadratic efficient frontiers for portfolio optimization
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Mean-variance hedging for general claims
• Mean-variance hedging in continuous time
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation

Cited in

(3)

• scientific article; zbMATH DE number 2062291 (Why is no real title available?)
• Convergence of the embedded mean-variance optimal points with discrete sampling
• Multiperiod mean-variance efficient portfolios with endogenous liabilities

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