The impact of general correlation under multi-period mean-variance asset-liability portfolio management
From MaRDI portal
Publication:6594990
DOI10.1007/S11424-023-3019-6zbMATH Open1546.9124MaRDI QIDQ6594990
Xianping Wu, Wei-Ping Wu, Author name not available (Why is that?)
Publication date: 29 August 2024
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
dynamic programmingasset-liability managementmean-variancemulti-period portfoliostochastic correlated returns
Cites Work
- Title not available (Why is that?)
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
- Asset-liability management under the safety-first principle
- A geometric approach to multiperiod mean variance optimization of assets and liabilities
- A generalized multi-period mean-variance portfolio optimization with Markov switching parameters
- Multi-period portfolio selection for asset-liability management with uncertain investment horizon
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- On continuous-time constrained stochastic linear-quadratic control
- Optimal multi-period mean-variance policy under no-shorting constraint
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection
- Stochastic control for multiperiod mean-variance asset-liability management
- The premium of dynamic trading
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model
- Scenarios and Policy Aggregation in Optimization Under Uncertainty
- Autocorrelated Returns and Optimal Intertemporal Portfolio Choice
- The premium of dynamic trading in a discrete-time setting
- Explicit Solution for Constrained Scalar-State Stochastic Linear-Quadratic Control With Multiplicative Noise
- On noninferior performance index vectors
This page was built for publication: The impact of general correlation under multi-period mean-variance asset-liability portfolio management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6594990)