Time-Consistent Mean–variance Portfolio Optimization: A Numerical Impulse Control Approach

Insurance: Mathematics and Economics- Netherlands

doi 10.1016/j.insmatheco.2018.08.003

Full Text

Abstract

Available in

Categories

Date

November 1, 2018

Authors

Pieter M. Van Staden

Peter A. Forsyth

Publisher

Elsevier BV

Related search

Time-Consistent Optimal Portfolio Strategy for Asset-Liability Management Under Mean-Variance Criterion

Accounting and Finance Research

English

Mean-Variance Portfolio Optimization Under Asset-Liability Based on Time Series Approaches

International Journal of Mathematics Trends and Technology

English

Convex Duality in Constrained Mean-Variance Portfolio Optimization

Advances in Applied Probability

Applied Mathematics

English

Optimal Time-Consistent Portfolio and Contribution Selection for Defined Benefit Pension Schemes Under Mean–variance Criterion

English

Static Mean-Variance Portfolio Optimization Under General Sources of Uncertainty

Pakistan Journal of Statistics and Operation Research

Management Science

Operations Research

English

Multi-Period Mean-Variance Portfolio Optimization With Markov Switching Parameters

Sba: Controle & Automação Sociedade Brasileira de Automatica

English

Time Consistent Strategies for Mean-Variance Asset-Liability Management Problems

Mathematical Problems in Engineering

English

Characteristic-Based Mean-Variance Portfolio Choice

Journal of Banking and Finance

English

The Research of Discrete Mean - Variance Portfolio Problem With Time-Delay

Mathematics and Computer Science

English