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Continuous-time mean–variance portfolio selection with liability and regime switching
16 references·2 citing·37 second hop
Continuous-time mean–variance portfolio selection with liability and regime switching (2009)Continuous-time mean–variance portfolio s…Asset and liability management under a continuous-time mean–variance optimization framework (2006)Asset and liability managemen…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…A geometric approach to multiperiod mean variance optimization of assets and liabilities (2003)A geometric approach to multi…Mean-Variance Portfolio Selection with Random Parameters in a Complete Market (2002)Mean-Variance Portfolio Selec…Stock Trading: An Optimal Selling Rule (2001)Stock Trading: An Optimal Sel…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach (1998)Consumption and Portfolio Sel…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Option Valuation and Hedging …Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns (1993)Option Valuation and Hedging …A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Portfolio Selection (1952)Portfolio SelectionMulti-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (2016)Multi-period mean-variance po…Continuous-time mean–variance asset–liability management with endogenous liabilities (2012)Continuous-time mean–variance…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Adapted solution of a backward stochastic differential equation (1990)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Methods of Mathematical Finance (1998)Derivatives in Financial Markets with Stochastic Volatility (2000)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Controlled diffusion models for optimal dividend pay-out (1997)Partial Differential Equations (2010)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

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  • 2003

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A geometric approach to multiperiod mean variance optimization of assets and liabilities
179 cited
  • 2006Asset and liability management under a continuous-time mean–variance optimization framework173 cited
  • Cited by

    • 2016Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability51 cited
    • 2012Continuous-time mean–variance asset–liability management with endogenous liabilities28 cited