Search Results - subject:"Continuous time mean-variance"

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Mean-variance portfolio with wealth and volatility dependent risk aversion

Liu, Shican - In: Quantitative finance 24 (2024) 6, pp. 735-751

Persistent link: https://www.econbiz.de/10015050791

Continuous-time mean–variance portfolio selection with only risky assets

Yao, Haixiang; Li, Zhongfei; Chen, Shumin - In: Economic Modelling 36 (2014) C, pp. 244-251

We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting …

Persistent link: https://www.econbiz.de/10010729860

Continuous-time mean-variance portfolio selection with only risky assets

Yao, Haixiang; Li, Zhongfei; Chen, Shumin - In: Economic modelling 36 (2014), pp. 244-251

Persistent link: https://www.econbiz.de/10010412352

Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model

Yao, Haixiang; Yang, Zhou; Chen, Ping - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 851-863

In defined contribution (DC) pension schemes, the financial risk borne by the member occurs during the accumulation phase. To build up sufficient funds for retirement, scheme members invest their wealth in a portfolio of assets. This paper considers an optimal investment problem of a scheme...

Persistent link: https://www.econbiz.de/10010719103

Markowitz’s mean-variance defined contribution pension fund management under inflation : a continuous-time model

Yao, Haixiang; Yang, Zhou; Chen, Ping - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 851-863

Persistent link: https://www.econbiz.de/10010227804