Deterministic mean-variance-optimal consumption and investment

DOI10.1080/17442508.2013.801972zbMath1291.91191OpenAlexW2055602362MaRDI QIDQ5410799

Mogens Steffensen, Marcus C. Christiansen

Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.801972

zbMATH Keywords

mean-variance optimizationunit-linked life insuranceoptimal investment and consumptiondeterministic control

Mathematics Subject Classification ID

Stochastic systems in control theory (general) (93E03) Portfolio theory (91G10)

Related Items (7)

Optimal life-cycle consumption and investment decisions under age-dependent risk preferences ⋮ DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Continuous time mean–variance–utility portfolio problem and its equilibrium strategy ⋮ Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion ⋮ DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION ⋮ Mean reflected stochastic differential equations with two constraints ⋮ Around the Life Cycle: Deterministic Consumption-Investment Strategies

Cites Work

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• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Stochastic Optimal Control with Applications in Financial Engineering
• Some Notes on the Dynamics and Optimal Control of Stochastic Pension Fund Models in Continuous Time
• Some applications of L2-hedging with a non-negative wealth process
• STOCHASTIC MODEL PREDICTIVE CONTROL AND PORTFOLIO OPTIMIZATION

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