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Optimal investment decisions when time-horizon is uncertain

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Cited by:

  1. Shubhangi Sikaria & Rituparna Sen & Neelesh S. Upadhye, 2019. "Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection," Papers 1911.07526, arXiv.org, revised Aug 2020.
  2. Weidong Tian & Zimu Zhu, 2020. "A Portfolio Choice Problem Under Risk Capacity Constraint," Papers 2005.13741, arXiv.org, revised Dec 2021.
  3. Tiziano De Angelis & Giorgio Ferrari & John Moriarty, 2014. "A Non Convex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries," Papers 1405.2442, arXiv.org, revised Nov 2014.
  4. Di Tella, Paolo, 2020. "On the weak representation property in progressively enlarged filtrations with an application in exponential utility maximization," Stochastic Processes and their Applications, Elsevier, vol. 130(2), pages 760-784.
  5. Bäuerle Nicole & Chen An, 2019. "Optimal retirement planning under partial information," Statistics & Risk Modeling, De Gruyter, vol. 36(1-4), pages 37-55, December.
  6. Monique Jeanblanc & Thibaut Mastrolia & Dylan Possamaï & Anthony Réveillac, 2015. "Utility Maximization With Random Horizon: A Bsde Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(07), pages 1-43, November.
  7. Oleksii Mostovyi, 2015. "Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption," Finance and Stochastics, Springer, vol. 19(1), pages 135-159, January.
  8. Gebhard Geiger, 2020. "Conditional non-expected utility preferences induced by mixture of lotteries: a note on the normative invalidity of expected utility theory," Annals of Operations Research, Springer, vol. 289(2), pages 431-448, June.
  9. Mousa, A.S. & Pinheiro, D. & Pinto, A.A., 2016. "Optimal life-insurance selection and purchase within a market of several life-insurance providers," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 133-141.
  10. Ali Al-Aradi & Sebastian Jaimungal, 2020. "A Variational Analysis Approach to Solving the Merton Problem," Papers 2003.08450, arXiv.org.
  11. Fenge Chen & Bing Li & Xingchun Peng, 2022. "Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 635-659, June.
  12. Weidong Tian & Zimu Zhu, 2022. "A portfolio choice problem under risk capacity constraint," Annals of Finance, Springer, vol. 18(3), pages 285-326, September.
  13. Michael Monoyios, 2020. "Infinite horizon utility maximisation from inter-temporal wealth," Papers 2009.00972, arXiv.org, revised Oct 2020.
  14. Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017. "The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments," Mathematical Finance, Wiley Blackwell, vol. 27(1), pages 68-95, January.
  15. Md. Azizul Baten & Anton Abdulbasah Kamil, 2013. "Optimal Consumption in a Stochastic Ramsey Model with Cobb-Douglas Production Function," International Journal of Mathematics and Mathematical Sciences, Hindawi, vol. 2013, pages 1-8, March.
  16. Mondher Bellalah & Detao Zhang & Panpan Zhang, 2020. "Optimal Portfolio Choice Under Shadow Costs with Fixed Assets when Time-Horizon Is Uncertain," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 5-20, June.
  17. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Papers 1803.05819, arXiv.org, revised Jul 2018.
  18. Tian Chen & Ruyi Liu & Zhen Wu, 2022. "Continuous-time mean-variance portfolio selection under non-Markovian regime-switching model with random horizon," Papers 2205.06434, arXiv.org.
  19. Ying Jiao & Huyên Pham, 2011. "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, vol. 15(4), pages 725-753, December.
  20. Gerrard, Russell & Kyriakou, Ioannis & Nielsen, Jens Perch & Vodička, Peter, 2023. "On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging," European Journal of Operational Research, Elsevier, vol. 307(2), pages 948-962.
  21. Ying Jiao & Idris Kharroubi, 2016. "Information uncertainty related to marked random times and optimal investment," Papers 1607.02743, arXiv.org, revised Mar 2017.
  22. Konstantinidi, Eirini & Skiadopoulos, George, 2016. "How does the market variance risk premium vary over time? Evidence from S&P 500 variance swap investment returns," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 62-75.
  23. Huang, Zongyuan & Wang, Haiyang & Wu, Zhen, 2020. "A kind of optimal investment problem under inflation and uncertain time horizon," Applied Mathematics and Computation, Elsevier, vol. 375(C).
  24. Ali Al-Aradi & Sebastian Jaimungal, 2019. "Active and Passive Portfolio Management with Latent Factors," Papers 1903.06928, arXiv.org.
  25. Liu, Qiang & Xiang, Yun & Zhao, Yonghong, 2019. "An outperforming investment strategy under fractional Brownian motion," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 505-515.
  26. Kardaras, Constantinos, 2010. "Numéraire-invariant preferences in financial modeling," LSE Research Online Documents on Economics 44993, London School of Economics and Political Science, LSE Library.
  27. Constantinos Kardaras, 2009. "Num\'{e}raire-invariant preferences in financial modeling," Papers 0903.3736, arXiv.org, revised Nov 2010.
  28. Alain Bensoussan & Ka Chun Cheung & Yiqun Li & Sheung Chi Phillip Yam, 2022. "Inter‐temporal mutual‐fund management," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 825-877, July.
  29. Tahir Choulli & Sina Yansori, 2018. "Log-optimal portfolio and num\'eraire portfolio for market models stopped at a random time," Papers 1810.12762, arXiv.org, revised Aug 2020.
  30. Salvatore Federico & Paul Gassiat & Fausto Gozzi, 2015. "Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation," Finance and Stochastics, Springer, vol. 19(2), pages 415-448, April.
  31. Schendel, Lorenz S., 2014. "Consumption-investment problems with stochastic mortality risk," SAFE Working Paper Series 43, Leibniz Institute for Financial Research SAFE.
  32. Ali Al-Aradi & Sebastian Jaimungal, 2018. "Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(3), pages 268-294, May.
  33. I. Duarte & D. Pinheiro & A. A. Pinto & S. R. Pliska, 2011. "Optimal Life Insurance Purchase, Consumption and Investment on a financial market with multi-dimensional diffusive terms," Papers 1102.2263, arXiv.org.
  34. Tahir Choulli & Sina Yansori, 2018. "Explicit description of all deflators for market models under random horizon with applications to NFLVR," Papers 1803.10128, arXiv.org, revised Feb 2021.
  35. Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011. "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, vol. 15(2), pages 297-342, June.
  36. Joshua Aurand & Yu-Jui Huang, 2019. "Epstein-Zin Utility Maximization on a Random Horizon," Papers 1903.08782, arXiv.org, revised May 2023.
  37. Giulia Di Nunno & Steffen Sjursen, 2013. "Information and optimal investment in defaultable assets," Papers 1312.6032, arXiv.org.
  38. de Kort, J. & Vellekoop, M.H., 2017. "Existence of optimal consumption strategies in markets with longevity risk," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 107-121.
  39. Jang, Bong-Gyu & Koo, Hyeng Keun & Park, Seyoung, 2019. "Optimal consumption and investment with insurer default risk," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 44-56.
  40. Fahmy, Hany, 2020. "Mean-variance-time: An extension of Markowitz's mean-variance portfolio theory," Journal of Economics and Business, Elsevier, vol. 109(C).
  41. Christian Dehm & Thai Nguyen & Mitja Stadje, 2020. "Non-concave expected utility optimization with uncertain time horizon," Papers 2005.13831, arXiv.org, revised Oct 2021.
  42. Wu, Huiling & Zeng, Yan & Yao, Haixiang, 2014. "Multi-period Markowitz's mean–variance portfolio selection with state-dependent exit probability," Economic Modelling, Elsevier, vol. 36(C), pages 69-78.
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