Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements-Reference-Cited by-同舟云学术

Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements

Published:2020-08-31 Issue: Volume: Page:1-17
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Zhao Qian¹,Wei Jiaqin²

Affiliation:

1. School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, China

2. Key Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, Shanghai, China

Funder

National Natural Science Foundation of China

111 Project

Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1812656

Reference27 articles.

1. Time-Consistent Portfolio Selection under Short-Selling Prohibition: From Discrete to Continuous Setting

2. On time-inconsistent stochastic control in continuous time

3. MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION

4. Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model

5. Markowitz’s mean-variance asset-liability management with regime switching: A continuous-time model

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