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Multi-period portfolio selection for asset-liability management with uncertain investment horizon
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Multi-period portfolio selection for asset-liability management with uncertain investment horizon (2008)Multi-period portfolio selection for asse…Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (2016)Multi-period mean-variance po…Dynamic mean–variance portfolio selection with liability and stochastic interest rate (2015)Dynamic mean–variance portfol…Continuous-time mean–variance portfolio selection with only risky assets (2013)Continuous-time mean–variance…Continuous-time mean–variance asset–liability management with endogenous liabilities (2012)Continuous-time mean–variance…Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon (2011)Multi-period mean-variance po…An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)PORTFOLIO SELECTION* (1952)Stochastic controls : Hamiltonian systems and HJB equations (1999)Controlled Markov Processes and Viscosity Solutions (2005)Portfolio Selection (1952)Uncertain Lifetime, Life Insurance, and the Theory of the Consumer (1965)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Liquidity Preference as Behavior Towards Risk (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A linear programming model for selection of sparse high-dimensional multiperiod portfolios (2018)Behavioral mean-variance portfolio selection (2018)Some new efficient mean–variance portfolio selection models (2021)
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  • 2016Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability51 cited
  • 2011Multi-period mean-variance portfolio selection with Markov regime switching and uncertain time-horizon44 cited
  • 2013Continuous-time mean–variance portfolio selection with only risky assets34 cited
  • 2012Continuous-time mean–variance asset–liability management with endogenous liabilities28 cited
  • 2015Dynamic mean–variance portfolio selection with liability and stochastic interest rate25 cited

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