Pages that link to "Item:Q5704066"

The following pages link to Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (Q5704066):

Displaying 50 items.

• Continuous-time mean-variance portfolio selection with random horizon in an incomplete market (Q286277) (← links)
• Gaussian density estimates for the solution of singular stochastic Riccati equations. (Q331328) (← links)
• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model (Q340669) (← links)
• Investing equally in risk (Q354660) (← links)
• Stochastic \(H_2/H_\infty\) control with random coefficients (Q379901) (← links)
• Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems (Q450712) (← links)
• Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach (Q490798) (← links)
• Mean-variance portfolio selection of cointegrated assets (Q550847) (← links)
• Portfolio optimization when expected stock returns are determined by exposure to risk (Q605869) (← links)
• Continuous-time mean-variance portfolio selection with liability and regime switching (Q659108) (← links)
• A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
• Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks (Q781093) (← links)
• Implications of the Sharpe ratio as a performance measure in multi-period settings (Q844669) (← links)
• The mean-variance investment problem in a constrained financial market (Q859607) (← links)
• Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (Q927920) (← links)
• Optimal investment for an insurer: the martingale approach (Q995514) (← links)
• Continuous-time mean-variance efficiency: the 80\% rule (Q997400) (← links)
• Comparison of portfolios which depend on multivariate Bernoulli random variables with fixed marginals. (Q1413288) (← links)
• A random parameter model for continuous-time mean-variance asset-liability management (Q1666339) (← links)
• Closed-form optimal strategies of continuous-time options with stochastic differential equations (Q1674900) (← links)
• Mean-variance portfolio selection in a complete market with unbounded random coefficients (Q1689364) (← links)
• Mean-variance portfolio selection under a non-Markovian regime-switching model (Q1713195) (← links)
• Non-smooth analysis method in optimal investment-BSDE approach (Q1716351) (← links)
• Continuous-time mean-variance portfolio selection under the CEV process (Q1723934) (← links)
• Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint (Q1740034) (← links)
• Mean-variance portfolio selection under a constant elasticity of variance model (Q1785248) (← links)
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052) (← links)
• A new look at the Lagrange method for continuous-time stochastic optimization (Q1934408) (← links)
• Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions (Q1955374) (← links)
• Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer (Q1955571) (← links)
• Portfolio selection with jumps under regime switching (Q1958452) (← links)
• Mutual fund theorem for continuous time markets with random coefficients (Q2015032) (← links)
• Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution (Q2022311) (← links)
• Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model (Q2031371) (← links)
• Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
• Robust state-dependent mean-variance portfolio selection: a closed-loop approach (Q2049552) (← links)
• The study of mean-variance risky asset management with state-dependent risk aversion under regime switching market (Q2064422) (← links)
• Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck \(4/2\) models. (Q2073105) (← links)
• Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria (Q2076400) (← links)
• Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach (Q2076436) (← links)
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate (Q2103521) (← links)
• Constrained stochastic LQ control with regime switching and application to portfolio selection (Q2117450) (← links)
• A varying terminal time mean-variance model (Q2124501) (← links)
• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis (Q2150498) (← links)
• Mean-variance asset-liability management problem under non-Markovian regime-switching models (Q2187333) (← links)
• Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients (Q2190010) (← links)
• Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting (Q2234757) (← links)
• Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls (Q2240821) (← links)
• Mean-variance portfolio selection with correlation risk (Q2252429) (← links)
• Mean-variance asset-liability management: cointegrated assets and insurance liability (Q2253397) (← links)