Optimal investment decisions when time-horizon is uncertain
From MaRDI portal
Publication:952683
DOI10.1016/J.JMATECO.2007.09.004zbMATH Open1153.91018OpenAlexW2041537059MaRDI QIDQ952683FDOQ952683
Authors: Christophette Blanchet-Scalliet, Nicole El Karoui, Lionel Martellini, Monique Jeanblanc 
Publication date: 13 November 2008
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmateco.2007.09.004
Recommendations
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- Portfolio optimization with uncertain exit time in infinite-time horizon
- The investment horizon problem: a possible resolution
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
Cites Work
- An equilibrium characterization of the term structure
- Optimum consumption and portfolio rules in a continuous-time model
- An Intertemporal Capital Asset Pricing Model
- Title not available (Why is that?)
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Title not available (Why is that?)
- Optimal Entrepreneurial Decisions in a Completely Stochastic Environment
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
- Utility Maximization with Discretionary Stopping
- A definition and some characteristic properties of pseudo-stopping times
- Lectures on the Mathematics of Finance
- Wealth-path dependent utility maximization in incomplete markets
- Pricing and hedging in the presence of extraneous risks
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
- Liquidity shocks and equilibrium liquidity premia.
- Dynamic asset pricing theory with uncertain time-horizon
Cited In (70)
- Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Generalization on optimal multiple stopping with application to swing options with random exercise rights number
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Optimal consumption and investment with insurer default risk
- On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization
- Optimal investment decisions
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Two-player zero-sum stochastic differential games with random horizon
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
- Portfolio optimization with uncertain exit time in infinite-time horizon
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Lifetime consumption and investment for worst-case crash scenarios
- Optimal life-insurance selection and purchase within a market of several life-insurance providers
- The investment horizon problem: a possible resolution
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- Bayesian filtering for multi-period mean-variance portfolio selection
- Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk
- INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
- Investment horizon and composition of optimal portfolio: International evidence
- The Role of Learning in Dynamic Portfolio Decisions *
- Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation
- Modeling and solving portfolio selection problems based on PVaR
- Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function
- Indifference valuation of mortgage-backed securities in the presence of prepayment risk
- Pension funds with a minimum guarantee: a stochastic control approach
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Inter‐temporal mutual‐fund management
- Preemptive investment under uncertainty
- Investment timing in presence of downside risk: a certainty equivalent characterization
- Existence of optimal consumption strategies in markets with longevity risk
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- Numéraire-invariant preferences in financial modeling
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Optimal investment with counterparty risk: a default-density model approach
- Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory
- A portfolio choice problem under risk capacity constraint
- Information and optimal investment in defaultable assets
- Portfolio problems stopping at first hitting time with application to default risk
- Dynamic asset pricing theory with uncertain time-horizon
- Optimal retirement planning under partial information
- Horizon-unbiased investment with ambiguity
- Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
- Optimal investment-consumption-insurance with random parameters
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- Continuous-time mean-variance portfolio selection with random horizon
- Optimal asset allocation for outperforming a stochastic benchmark target
- Optimal time-consistent investment strategy for a DC pension plan with the return of premiums clauses and annuity contracts
- Outperformance and tracking: dynamic asset allocation for active and passive portfolio management
- A multidimensional exponential utility indifference pricing model with applications to counterparty risk
- Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
- Information uncertainty related to marked random times and optimal investment
- Optimal life insurance purchase, consumption and investment on a financial market with multi-dimensional diffusive terms
- Optimal investment with two-factor uncertainty
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- Optimal dividend and investment problems under Sparre Andersen model
- Buy-and-hold mean-variance portfolios with a random exit strategy
- Utility maximization with a stochastic clock and an unbounded random endowment
- Optimal insurance in a changing economy
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging
- Epstein‐Zin utility maximization on a random horizon
- Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
- Non-concave expected utility optimization with uncertain time horizon
- Optimal consumption problems in discontinuous markets
- Optimal consumption, investment and life-insurance purchase under a stochastically fluctuating economy
- PORTFOLIO SELECTION USING LEVEL CROSSING ANALYSIS
- Mean-variance portfolio selection with random investment horizon
- PORTFOLIO CHOICE WITH TIME HORIZON RISK
This page was built for publication: Optimal investment decisions when time-horizon is uncertain
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q952683)
