The Impact of General Correlation Under Multi-Period Mean-Variance Asset-Liability Portfolio Management

On continuous-time constrained stochastic linear–quadratic control

(2020) Weiping Wu et al.   AUTOMATICA

Multi-period mean–variance portfolio optimization with management fees

(2019) Xiangyu Cui et al.   Operational Research

Explicit Solution for Constrained Scale-State Stochastic Linear-Quadratic Control with Multiplicative Noise

(2018) Weiping Wu et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

A mean-field formulation for multi-period asset–liability mean–variance portfolio selection with an uncertain exit time

(2018) Xiangyu Cui et al.   JOURNAL OF THE OPERATIONAL RESEARCH SOCIETY

A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints

(2017) Xianping Wu et al.   Journal of Industrial and Management Optimization

The premium of dynamic trading in a discrete-time setting

(2016) Haixiang Yao et al.   QUANTITATIVE FINANCE

Time cardinality constrained mean–variance dynamic portfolio selection and market timing: A stochastic control approach

(2015) Jianjun Gao et al.   AUTOMATICA

Unified Framework of Mean-Field Formulations for Optimal Multi-Period Mean-Variance Portfolio Selection

(2014) Xiangyu Cui et al.   IEEE TRANSACTIONS ON AUTOMATIC CONTROL

Optimal multi-period mean–variance policy under no-shorting constraint

(2013) Xiangyu Cui et al.   EUROPEAN JOURNAL OF OPERATIONAL RESEARCH

Optimal mean–variance control for discrete-time linear systems with Markovian jumps and multiplicative noises

(2011) Oswaldo L.V. Costa et al.   AUTOMATICA

Multi-period portfolio selection for asset-liability management with uncertain investment horizon

(2011) Duan Li et al.   Journal of Industrial and Management Optimization

Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

(2011) Yan Zeng et al.   Journal of Systems Science & Complexity

The premium of dynamic trading

(2010) Chun Hung Chiu et al.   QUANTITATIVE FINANCE

Asset-Liability Management Under the Safety-First Principle

(2009) M. C. Chiu et al.   JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS

A generalized multi-period mean–variance portfolio optimization with Markov switching parameters

(2008) Oswaldo L.V. Costa et al.   AUTOMATICA