Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows

DOI10.1016/j.insmatheco.2016.03.002zbMath1369.91170OpenAlexW2305419388MaRDI QIDQ320296

Jialing Yin, Zhongbao Zhou, Helu Xiao, Ling Lin, Ximei Zeng

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.002

zbMATH Keywords

portfolio choicetime-consistent strategyexponential utilitypre-commitment strategystochastic cash flows

Mathematics Subject Classification ID

Related Items (9)

Optimal hedging with basis risk under mean-variance criterion ⋮ Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ Time-consistent strategies for multi-period mean-variance portfolio optimization with the serially correlated returns ⋮ 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 ⋮ Time-consistent multiperiod mean semivariance portfolio selection with the real constraints ⋮ Performance evaluation of portfolios with fuzzy returns ⋮ Chance-constrained multiperiod mean absolute deviation uncertain portfolio selection ⋮ Multiperiod mean absolute deviation uncertain portfolio selection with real constraints ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies

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