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Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon
16 references·0 citing·31 second hop
Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (2011)Multi-period mean-variance portfolio sele…Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model (2008)Markowitz’s mean-variance ass…A generalized multi-period mean–variance portfolio optimization with Markov switching parameters (2008)A generalized multi-period me…Static Mean-Variance Analysis with Uncertain Time Horizon (2006)Static Mean-Variance Analysis…Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach (2006)Multiperiod portfolio optimiz…Multi-period optimization portfolio with bankruptcy control in stochastic market (2006)Multi-period optimization por…Portfolio optimization in stochastic markets (2005)Portfolio optimization in sto…Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation (2004)Risk Control Over Bankruptcy …Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Markowitz's Mean-Variance Por…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…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model (1975)Optimal consumption, portfoli…Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance (1969)Optimal Investment and Consum…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Uncertain Lifetime, Life Insu…Portfolio Selection (1952)Portfolio SelectionOptimum consumption and portfolio rules in a continuous-time model (1971)Capital Market Equilibrium with Personal Tax (1983)Optimal Portfolio Selection with Transaction Costs and Finite Horizons (2002)A Monte Carlo Method for Optimal Portfolios (2003)Aspects of the Theory of Risk-Bearing. (1966)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)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Theory of the Consumption Function (1957)Precautionary Saving and Accidental Bequests (1985)The Demand for Life Insurance in OECD Countries (2007)The Relationship Between Insurance and Economic Development: 85 Empirical Papers for a Review of the Literature (2012)Theory of games and economic behavior (2019)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)An Intertemporal Capital Asset Pricing Model (1973)Option Pricing With Markov-Modulated Dynamics (2006)Precautionary Saving and Social Insurance (1995)Entrepreneurship, Frictions, and Wealth (2006)Monetary Policy According to HANK (2018)A possibilistic mean-semivariance-entropy model for multi-period portfolio selection with transaction costs (2012)Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (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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  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
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  • 1969Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance246 cited
  • 2004Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits226 cited
  • 2003A geometric approach to multiperiod mean variance optimization of assets and liabilities179 cited
  • 2004Risk Control Over Bankruptcy in Dynamic Portfolio Selection: A Generalized Mean-Variance Formulation167 cited
  • 2008Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model138 cited
  • 2006Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach131 cited
  • 2008A generalized multi-period mean–variance portfolio optimization with Markov switching parameters125 cited
  • 2005

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Portfolio optimization in stochastic markets
82 cited
  • 2006Static Mean-Variance Analysis with Uncertain Time Horizon63 cited
  • 2006Multi-period optimization portfolio with bankruptcy control in stochastic market55 cited
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