中图分类号:
F830.59
F224
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] Markowitz H. Portfolio selection[J]. Journal of Finance, 1952, 7(1): 77-91.
[2] Li D, Ng W L. Optimal dynamic portfolio selection: Multiperiod mean-variance formulation[J]. Mathematical Finance, 2000, 10: 387-406.
[3] Zhou X Y, Li D. Continuous-time mean-variance portfolio selection: A stochastic LQ framework[J]. Applied Mathematics Optimization, 2000, 42: 19-33.
[4] Costa O L V, Oliveira A D. Optimal mean-variance control for discrete-time linear systems with Markovian jumps and multiplicative noises[J]. Automatica, 2012, 48: 304-315.
[5] Elliott R J, Siu T K, Badescu A. On mean-variance portfolio selection under a hidden Markovian regime-switching model[J]. Economic Modelling, 2010, 27: 678-686.
[6] Zhu S S, Li D, Wang S Y. Risk control over bankruptcy in dynamic portfolio selection: A generalized mean-variance formulation[J]. IEEE Transactions on Automatic Control, 2004, 49(3): 447-457.
[7] Bielecki T R, Jin H Q, Pliska S R, et al. Continuous-time mean-variance portfolio selection with bankruptcy prohibition[J]. Mathematical Finance, 2005, 15: 213-244.
[8] Leippold M, Trojani F, Vanini P. A geometric approach to multiperiod mean variance optimization of assets and liabilities[J]. Journal of Economic Dynamics and Control, 2004, 8: 1079-1113.
[9] Chen P, Yang H L. Markowitz's mean-variance asset-liability management with regime switching: A multi-period model[J]. Applied Mathematical Finance, 2011, 18(1): 29-50.
[10] Chiu M C, Li D. Asset and liability management under a continuous-time mean-variance optimization framework[J]. Insurance: Mathematics and Economics, 2006, 39: 330-355.
[11] Chen P, Yang H L, George Y. Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model[J]. Insurance: Mathematics and Economics, 2008, 43: 456-465.
[12] 许云辉,李仲飞.基于收益序列相关的动态投资组合选择——动态均值-方差模型[J].系统工程理论与实践, 2008, 28(8): 123-131.Xu Yunhui, Li Zhongfei. Dynamic portfolio selection based on serially correlated return: Dynamic mean-variance formulation[J]. Systems Engineering——Theory & Practice, 2008, 28(8): 123-131.
[13] 李仲飞, 袁子甲. 参数不确定性下资产配置的动态均值-方差模型[J]. 管理科学学报, 2010, 13(12): 1-9. Li Zhongfei, Yuan Zijia. A dynamic mean-variance model of portfolio selection under parameter uncertainty[J]. Journal of Management Sciences in China, 2010, 13(12): 1-9.
[14] 张初兵, 荣喜民. 均值-方差模型下DC型养老金的随机最优控制[J].系统工程理论与实践, 2012, 32(6): 1314-1323. Zhang Chubing, Rong Ximin. Stochastic optimal control for DC pension under the mean-variance model[J]. Systems Engineering——Theory & Practice, 2012, 32(6): 1314-1323.
[15] Merton R C. Optimal consumption and portfolio rules in a continuous-time model[J]. Journal of Economic Theory, 1971, 3: 373-413.
[16] Christophette B S, Nicole E K, Monique J, et al. Optimal investment decisions when time-horizon is uncertain[J]. Journal of Mathematical Economics, 2008, 44: 1100-1113.
[17] Martellini L, Urosevic B. Static mean-variance analysis with uncertain time horizon[J]. Management Science, 2006, 52: 955-964.
[18] 郭文旌, 胡奇英. 不确定终止时间的多阶段最优投资组合[J]. 管理科学学报, 2005, 8(2): 13-19. Guo Wenjing, Hu Qiying. Multi-period optimization when exit time is uncertain[J]. Journal of Management Sciences in China, 2005, 8(2): 13-19.
[19] Wu H L, Li Z F. Multi-periodmean-variance portfolio selection with Markov regime switching and uncertain time-horizon[J]. Journal of Systems Science and Complexity, 2011, 24: 140-155.
[20] Yi L, Li Z F, Li D. Mutli-period portfolio selection for asset-liability management with uncertain investment horizon[J]. Journal of Industrial and Management Optimization, 2008, 4(3): 535-552.
[21] Li Z F, Xie S X. Mean-variance portfolio optimization under Stochastic income and uncertain exit time[J]. Dynamics of Continuous, Discrete and Impulsive Systems B: Applications and Algorithms, 2010, 17: 131-147.
[22] Campbell J, Viceira L. Strategic asset allocation: Portfolio choice for long-term investors[M]. Oxford University Press, Oxford, 2002.
[23] Brennan M J, Xia Y. Dynamic asset allocation under inflation[J]. The Journal of Finance, 2002, 57(3): 1201-1238.
[24] Jong F D. Pension fund investments and the valuation of liabilities under conditional indexation[J]. Insurance: Mathematics and Economics, 2008, 42: 1-13.
[25] Chou Y Y, Han N W, Hung M W. Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds[J]. Applied Stochastic Models in Business and Industry, 2011, 27: 691-706.
[26] Korn R, Siu T K, Zhang A H. Asset allocation for a DC pension fund under regime switching environment[J]. European Actuarial Journal, 2011, (Suppl2): S361-S377.
[27] Han N W, Hung M W. Optimal asset allocation for DC pension plans under inflation[J]. Insurance: Mathematics and Economics, 2012, 51: 172-181.
[28] Luenberger D G. Optimization by vector space methods[M]. Wiley, New York, 1968.
[29] Fleming W H, Soner H M. Controlled Markov processes and viscosity[M]. Solutions 2ed, Springer, New York, 2006. }
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
国家自然科学基金青年基金(71201173,11301562);广东省自然科学基金(S2013010011959);广东高等院校学科建设专项资金科技创新项目(2012KJCX0050);全国统计科学研究计划一般项目(2013LY101)
{{custom_fund}}