The modern portfolio theory (MPT) is a mathematical investment strategy ... Based on statistical measures such as variance and correlation, a single investment's performance is less important than how ...

When one considers an optimal portfolio policy under a mean-risk formulation, it is essential to correctly model investors’ risk aversion which may be time variant or even state dependent. In this ...

This paper is concerned with multi-period asset–liability mean–variance portfolio selection with an uncertain exit time. By employing the mean-field formulation to this problem which involves ...