Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
From MaRDI portal
Publication:286277
DOI10.1016/j.automatica.2016.02.017zbMath1338.93405OpenAlexW2301659145MaRDI QIDQ286277
Publication date: 20 May 2016
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.automatica.2016.02.017
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10)
Related Items (13)
Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon ⋮ A general linear quadratic stochastic control and information value ⋮ Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks ⋮ Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon ⋮ Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint ⋮ Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks ⋮ Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
Cites Work
- Contract theory in continuous-time models
- Optimal investment decisions when time-horizon is uncertain
- Continuous exponential martingales and BMO
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- The use of BSDEs to characterize the mean-variance hedging problem and the variance optimal martingale measure for defaultable claims
- On well-posedness of forward-backward SDEs -- a unified approach
- Mean-variance hedging on uncertain time horizon in a market with a jump
- Continuous-time mean-variance portfolio selection with random horizon
- Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
- Utility maximization in incomplete markets
- Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Multidimensional Backward Stochastic Riccati Equations and Applications
- Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
- Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
This page was built for publication: Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
