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  • Search: subject:"Multi-period mean–variance"
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Year of publication
Subject
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Portfolio selection 10 Portfolio-Management 9 Theorie 8 Theory 8 Dynamic programming 7 Mathematical programming 6 Mathematische Optimierung 6 Dynamische Optimierung 5 Uncertain time-horizon 4 Mortality risk 3 Regime switching 3 Asset allocation 2 Cash Flow 2 Cash flow 2 Defined contribution pension fund 2 Efficient frontier 2 Expected utility maximization 2 Mortality 2 Multi-period mean-variance model 2 Multi-period mean-variance portfolio selection 2 Multi-period mean–variance 2 Multi-period mean–variance model 2 Multi-period portfolio selection 2 No-shorting 2 Pension fund 2 Pensionskasse 2 Risiko 2 Risikomaß 2 Risk 2 Risk measure 2 Sterblichkeit 2 Stochastic income 2 Stochastic process 2 Stochastischer Prozess 2 Uncontrolled cash flow 2 Altersvorsorge 1 Anlageverhalten 1 Auxiliary Market 1 Behavioural finance 1 Contribution pension funds 1
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Undetermined 9
Type of publication
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Article 13
Type of publication (narrower categories)
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Article in journal 9 Aufsatz in Zeitschrift 9
Language
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English 9 Undetermined 4
Author
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Yao, Haixiang 9 Li, Xun 4 Zeng, Yan 4 Li, Duan 3 Chen, Shumin 2 Cui, Xiangyu 2 Gao, Jianjun 2 Jian, Minjie 2 Lai, Yongzeng 2 Ma, Qinghua 2 Wu, Huiling 2 Chen, Ping 1 Keykhaei, Reza 1 Li, Zhongfei 1 Qi, Jun 1 Wu, Xianping 1 Yi, Lan 1
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Published in...
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Economic Modelling 2 Economic modelling 2 European journal of operational research : EJOR 2 Insurance / Mathematics & economics 2 European Journal of Operational Research 1 Insurance: Mathematics and Economics 1 Journal of mathematical finance 1 Journal of the Operational Research Society 1 RAIRO / Operations research 1
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Source
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ECONIS (ZBW) 9 RePEc 4
Showing 1 - 10 of 13
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Multi-period asset-liability management with cash flows and probability constraints : a mean-field formulation approach
Li, Xun; Wu, Xianping; Yao, Haixiang - In: Journal of the Operational Research Society 71 (2020) 10, pp. 1563-1580
Persistent link: https://www.econbiz.de/10012314367
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Mean-variance portfolio selection with an uncertain exit-time in a regime-switching market
Keykhaei, Reza - In: RAIRO / Operations research 53 (2019) 4, pp. 1171-1186
Persistent link: https://www.econbiz.de/10012118960
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Multi-period portfolio selection with no-shorting constraints : duality analysis
Qi, Jun; Yi, Lan - In: Journal of mathematical finance 7 (2017) 3, pp. 751-768
Persistent link: https://www.econbiz.de/10011752542
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Multi-period defined contribution pension funds investment management with regime-switching and mortality risk
Yao, Haixiang; Chen, Ping; Li, Xun - In: Insurance / Mathematics & economics 71 (2016), pp. 103-113
Persistent link: https://www.econbiz.de/10011630616
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Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang; Li, Zhongfei; Li, Duan - In: European journal of operational research : EJOR 252 (2016) 3, pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
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Asset allocation for a DC pension fund with stochastic income and mortality risk: A multi-period mean–variance framework
Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Jian, Minjie - In: Insurance: Mathematics and Economics 54 (2014) C, pp. 84-92
mortality risk under a multi-period mean–variance framework. Different from most studies in the literature where the expected …
Persistent link: https://www.econbiz.de/10010729664
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Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability
Wu, Huiling; Zeng, Yan; Yao, Haixiang - In: Economic Modelling 36 (2014) C, pp. 69-78
This paper considers a multi-period mean–variance portfolio selection problem with uncertain time-horizon in a regime …
Persistent link: https://www.econbiz.de/10010729812
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Optimal multi-period mean–variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European Journal of Operational Research 234 (2014) 2, pp. 459-468
We consider in this paper the mean–variance formulation in multi-period portfolio selection under no-shorting constraint. Recognizing the structure of a piecewise quadratic value function, we prove that the optimal portfolio policy is piecewise linear with respect to the current wealth level,...
Persistent link: https://www.econbiz.de/10010871212
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Asset allocation for a DC pension fund with stochastic income and mortality risk : a multi-period mean–variance framework
Yao, Haixiang; Lai, Yongzeng; Ma, Qinghua; Jian, Minjie - In: Insurance / Mathematics & economics 54 (2014), pp. 84-92
Persistent link: https://www.econbiz.de/10010259667
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Optimal muli-period mean-variance policy under no-shorting constraint
Cui, Xiangyu; Gao, Jianjun; Li, Xun; Li, Duan - In: European journal of operational research : EJOR 234 (2014) 2, pp. 459-468
Persistent link: https://www.econbiz.de/10010356724
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