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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

Portfolio selection in stochastic environments

Liu, Jun - In: The review of financial studies 20 (2007) 1, pp. 1-39

Persistent link: https://www.econbiz.de/10003403670

Optimal Portfolios with Stochastic Short Rate : Pitfalls When the Short Rate is Non-Gaussian or the Market Price

Kraft, Holger - 2009

, Non-Gaussian interest rates, and/or unbounded market price of risk. Using stochastic control theory, we solve several … portfolio problems for different specifications of the short rate and the market price of risk. In particular, we consider a … of risk is unbounded. It is thus not straightforward to generalize results on continuous-time portfolio problems with …

Persistent link: https://www.econbiz.de/10013153483

Less-expensive valuation and reserving of long-dated variable annuities when interest rates and mortality rates are stochastic

Fergusson, Kevin - In: ASTIN bulletin : the journal of the International … 50 (2020) 2, pp. 381-417

Persistent link: https://www.econbiz.de/10012243342

Portfolio choice with stochastic interest rates and learning about stock return predictability

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: International review of economics & finance : IREF 41 (2016), pp. 347-370

Persistent link: https://www.econbiz.de/10011624748

Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247

Persistent link: https://www.econbiz.de/10011813816

Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference

Chang, Hao; Wang, Chunfeng; Fang, Zhenming; Ma, Dan - In: IMA journal of management mathematics 31 (2020) 2, pp. 167-189

Persistent link: https://www.econbiz.de/10012181853

A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates

Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Computational economics 54 (2019) 1, pp. 367-417

Persistent link: https://www.econbiz.de/10012134192

Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Zhang, Yumo - In: Annals of finance 18 (2022) 4, pp. 511-544

Persistent link: https://www.econbiz.de/10013489465

Multi-period dynamic bond portfolio optimization utilizing a stochastic interest rate model

Shimai, Yoshiyuki; Makimoto, Naoki - In: Asia Pacific financial markets 30 (2023) 4, pp. 817-844

Persistent link: https://www.econbiz.de/10014391968