Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/98668
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorLiu, Jen_US
dc.creatorYiu, KFCen_US
dc.creatorLi, Xen_US
dc.creatorSiu, TKen_US
dc.creatorTeo, KLen_US
dc.date.accessioned2023-05-10T02:03:52Z-
dc.date.available2023-05-10T02:03:52Z-
dc.identifier.issn1547-5816en_US
dc.identifier.urihttp://hdl.handle.net/10397/98668-
dc.language.isoenen_US
dc.publisherAmerican Institute of Mathematical Sciencesen_US
dc.rights© 2022 The Author(s). Published by AIMS, LLC. This is an Open Access article under the CC BY license (http://creativecommons.org/licenses/by/4.0/).en_US
dc.rightsThe following publication Liu, J., Yiu, K. F. C., Li, X., Siu, T. K., & Teo, K. L. (2023). Mean-variance portfolio selection with random investment horizon. Journal of Industrial and Management Optimization, 19(7), 4726-4739 is available at https://doi.org/10.3934/jimo.2022147.en_US
dc.subjectEfficient frontieren_US
dc.subjectHJB equationsen_US
dc.subjectMean varianceen_US
dc.subjectRandom time horizonen_US
dc.titleMean-variance portfolio selection with random investment horizonen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage4726en_US
dc.identifier.epage4739en_US
dc.identifier.volume19en_US
dc.identifier.issue7en_US
dc.identifier.doi10.3934/jimo.2022147en_US
dcterms.abstractThis paper studies a continuous-time securities market where an agent, having a random investment horizon and a targeted terminal mean return, seeks to minimize the variance of a portfolio's return. Two situations are discussed, namely a deterministic time-varying density process and a stochastic density process. In contrast to [18], the variance of an investment portfolio is no longer minimal when all assets are invested in a risk-free security. Furthermore, the random investment horizon has a material effect on the efficient frontier. This provides some insights into the classical mutual fund theorem.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationJournal of industrial and management optimization, July 2023, v. 19, no. 7, p. 4726-4739en_US
dcterms.isPartOfJournal of industrial and management optimizationen_US
dcterms.issued2023-07-
dc.identifier.isiWOS:000838944100001-
dc.identifier.scopus2-s2.0-85151803684-
dc.identifier.eissn1553-166Xen_US
dc.description.validate202305 bcvcen_US
dc.description.oaVersion of Recorden_US
dc.identifier.FolderNumberOA_Scopus/WOS-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextPolyU grant UAHF; National Natural Science Foundation of Chinaen_US
dc.description.pubStatusPublisheden_US
dc.description.TAAIMS (2023)en_US
dc.description.oaCategoryTAen_US
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