Mean variance portfolio management : time consistent approach
In this thesis, two problems of time consistent mean-variance portfolio selection have been studied: mean-variance asset-liability management with regime switchings and mean-variance optimization with state-dependent risk aversion under short-selling prohibition. Due to the non-linear expectation...
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| Language: | English |
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The University of Hong Kong (Pokfulam, Hong Kong)
2014
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| Online Access: | http://hdl.handle.net/10722/196026 |