Buy-and-hold mean-variance portfolios with a random exit strategy

DOI10.1080/14697688.2017.1372619zbMath1400.91541OpenAlexW2761255698MaRDI QIDQ4554501

Sheng-Feng Luo, Cheng-Der Fuh

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1372619

zbMATH Keywords

Sharpe ratioportfolio selectionmultivariate renewal theoryrandom horizon

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Optimal investment decisions when time-horizon is uncertain
• Continuous-time mean-variance efficiency: the 80\% rule
• Portfolio problems stopping at first hitting time with application to default risk
• Thou shalt buy and hold
• On Deriving the Inverse of a Sum of Matrices
• Utility Maximization with Discretionary Stopping