Classical optimal strategies are notorious for producing remarkably volatile portfolio weights over time when applied with parameters estimated from data. This is predominantly explained by the difficulty to estimate expected returns accurately. In Lindberg (Bernoulli 15:464–474, <CitationRef CitationID="CR10">2009</CitationRef>), a new...</citationref>

We use a Fourier transform to derive multivariate conditional and unconditional moments of multi-horizon returns under a regime-switching model. These moments are applied to examine the relevance of risk horizon and regimes for buy-and-hold investors. We analyze the impact of time-varying...

In this paper, we study an insurer’s optimal time-consistent strategies under the mean–variance criterion with state dependent risk aversion. It is assumed that the surplus process is approximated by a diffusion process. The insurer can purchase proportional reinsurance and invest in a...

In this article, we provide the first study in the time consistent solution of the mean–variance asset–liability management (MVALM). The framework is even considered under a continuous time Markov regime-switching setting. Using the extended Hamilton–Jacobi–Bellman equation (HJB) (see...

This contribution compares existing and newly developed techniques for geometrically representing mean–variance–skewness portfolio frontiers based on the rather widely adapted methodology of polynomial goal programming (PGP) on the one hand and the more recent approach based on the shortage...

This paper investigates a continuous-time mean–variance asset–liability management problem with endogenous liabilities in a more general market where all the assets can be risky. Different from exogenous liabilities that cannot be controlled, the endogenous liabilities can be controlled by...

Following the framework of Promislow and Young (2005), this paper considers an optimal investment–reinsurance problem of an insurer facing a claim process modeled by a Brownian motion with drift under the Markowitz mean–variance criterion. The market modes are divided into a finite number of...

This paper studies capital allocation problems with the aggregate risk exceeding a certain threshold. We propose a novel capital allocation rule based on the Tail Mean–Variance principle. General formulas for the optimal capital allocations are proposed. Explicit formulas for optimal capital...

This paper introduces a general continuous-time mathematical framework for solution of dynamic mean–variance control problems. We obtain theoretical results for two classes of functionals: the first one depends on the whole trajectory of the controlled process and the second one is based on...

As a necessary requirement for multi-period risk measure, time consistency can be examined from two aspects: dynamic risk measure and optimal investment policy. In this paper, we first study the relationship between the time consistency of dynamic risk measure and the time consistency of optimal...