Continuous-time mean–variance portfolio selection with only risky assets

Decreasing minerals׳ revenue risk by diversification of mineral production in mineral rich countries

“…The mean-variance framework, pioneered by Markowitz (1952), has long been recognized as the cornerstone of Modern Portfolio Theory (MPT) and has been widely adopted and applied in both academia and industry (Yao et al, 2014). In the portfolio selection problem, given a set of available securities or assets, one wants to find out the optimum way of investing a particular amount of money in these assets.…”

Portfolio Selection Based on Bayesian Theory

“…Bai et al [18,19] develop a bootstrapcorrected estimator to correct the overestimation in portfolio selection and further extend the theory to obtain selffinancing portfolios. Besides, in order to improve the portfolio selection efficiency, researchers tend to extend the models with dynamic programming [13,20,21], with continuous time framework [22,23], using Markovian regime-switching methods [24], and so on.…”

The Study of Mean-Variance Risky Asset Management with State-Dependent Risk Aversion under Regime Switching Market

“…Based on the assumptions used in Leippold et al [10], analytical results have been derived in a complete market with discussing the impact of liability on the optimal funding ratio. To construct more realistic models, more focus has been put on studying the asset-liability management under the market behavior in the face of many restriction conditions, for example, an uncertain investment horizon (see Li and Ng [12]; Li and Yao [13]), regimeswitching to describe phenomena between "Bullish" and "Bearish" markets (see Elliott et al [14]; Wei et al [15]; Wu and Li [16]; Wu and Chen [17]; Yu [18]), the choice of optimal portfolio selection for assets with transaction costs without short sales (see Li et al [19]), portfolio selection under partial information (see Xiong and Zhou [20]), bankruptcy control (see Li and Li [21]), jump-diffusion in financial markets (see Lim [22]; Zeng and Li [23]), and stochastic volatility and stochastic interest rates (see Lim [22]; Lim and Zhou [24]). Also, various studies of assets and liabilities management problem have been carried out in some particular field with application in insurance and pension fund, including Drijver [25] for pension funds Hilli et al [26] for a Finnish pension company, and Gerstner et al [27] and Chiu and Wong [28] for life insurance policies.…”