Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem

DOI10.1016/j.orl.2020.08.010OpenAlexW3081742097MaRDI QIDQ2661546

Lanzhi Yang, Xiangyu Cui, Xun Li

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.08.010

zbMATH Keywords

asset-liability managementmean-variance modelwealth thresholdfree cash flow stream

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Uses Software

• Isabelle

Cites Work

• Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
• Asset and liability management under a continuous-time mean-variance optimization framework
• A geometric approach to multiperiod mean variance optimization of assets and liabilities
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal multi-period mean-variance policy under no-shorting constraint
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Dynamic Asset Allocation in a Mean-Variance Framework
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Mixed Equilibrium Solution of Time-Inconsistent Stochastic Linear-Quadratic Problem
• A Minimum Variance Result in Continuous Trading Portfolio Optimization
• 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
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

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