Optimal multi-period mean-variance policy under no-shorting constraint
From MaRDI portal
Publication:2514718
DOI10.1016/j.ejor.2013.02.040zbMath1304.91185OpenAlexW3123829977WikidataQ57445421 ScholiaQ57445421MaRDI QIDQ2514718
Xun Li, Xiangyu Cui, Li, Duan, Jian-Jun Gao
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.02.040
expected utility maximizationmulti-period portfolio selectionmulti-period mean-variance formulationno-shorting
Related Items (46)
A linear programming model for selection of sparse high-dimensional multiperiod portfolios ⋮ The optimal payoff for a Yaari investor ⋮ Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows ⋮ Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time ⋮ Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability ⋮ Understanding dynamic mean variance asset allocation ⋮ Dynamic asset–liability management in a Markov market with stochastic cash flows ⋮ Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion ⋮ On pre-commitment aspects of a time-consistent strategy for a mean-variance investor ⋮ Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation ⋮ Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset ⋮ Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns ⋮ Two-stage fuzzy portfolio selection problem with transaction costs ⋮ A note on monotone mean-variance preferences for continuous processes ⋮ Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem ⋮ On continuous-time constrained stochastic linear-quadratic control ⋮ Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ Risk and potential: an asset allocation framework with applications to robo-advising ⋮ Survey on multi-period mean-variance portfolio selection model ⋮ Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time ⋮ ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow ⋮ Portfolio selection with exploration of new investment assets ⋮ Distributionally robust multi-period portfolio selection subject to bankruptcy constraints ⋮ Continuous-time Markowitz's model with constraints on wealth and portfolio ⋮ A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints ⋮ Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset ⋮ Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns ⋮ Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach ⋮ Fused Lasso approach in portfolio selection ⋮ Comonotonic approximation to periodic investment problems under stochastic drift ⋮ Behavioral mean-variance portfolio selection ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Multi-period portfolio selection with drawdown control ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint ⋮ Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ A symmetric Gauss-Seidel based method for a class of multi-period mean-variance portfolio selection problems ⋮ Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market ⋮ An Explicit Solution of a Nonlinear-Quadratic Constrained Stochastic Control Problem with Jumps: Optimal Liquidation in Dark Pools with Adverse Selection ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Cites Work
- Unnamed Item
- Continuous time mean variance asset allocation: a time-consistent strategy
- The mean-variance investment problem in a constrained financial market
- Mean-variance-skewness model for portfolio selection with fuzzy returns
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Convex duality in constrained portfolio optimization
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Mean-variance asset-liability management: cointegrated assets and insurance liability
- Dynamic mean-variance portfolio selection with borrowing constraint
- Worst-case robust decisions for multi-period mean-variance portfolio optimization
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Convex duality in constrained mean-variance portfolio optimization
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation
This page was built for publication: Optimal multi-period mean-variance policy under no-shorting constraint
