Search Results - subject:"multi-period mean-variance model"

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

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-switching market, where the conditional distribution of the time-horizon is assumed to be stochastic and depends on the market states as the returns of risky assets do....

Persistent link: https://www.econbiz.de/10010729812

Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probability

Wu, Huiling; Zeng, Yan; Yao, Haixiang - In: Economic modelling 36 (2014), pp. 69-78

Persistent link: https://www.econbiz.de/10010412027

Multi-period mean–variance asset–liability management with uncontrolled cash flow and uncertain time-horizon

Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic Modelling 30 (2013) C, pp. 492-500

This paper considers an asset–liability management problem under a multi-period mean–variance model with uncontrolled …

Persistent link: https://www.econbiz.de/10010608262

Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time-horizon

Yao, Haixiang; Zeng, Yan; Chen, Shumin - In: Economic modelling 30 (2013), pp. 492-500

Persistent link: https://www.econbiz.de/10009708888