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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 85, 2013 - Issue 4: Taksar Memorial Issue
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Original Articles

Deterministic mean-variance-optimal consumption and investment

Marcus Christiansen University of Ulm, Ulm, GermanyCorrespondence[email protected]
&
Mogens Steffensen University of Copenhagen, Copenhagen, DenmarkView further author information
Pages 620-636 | Received 27 Feb 2013, Accepted 30 Apr 2013, Published online: 18 Jun 2013

Citations (14)

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Read on this site (3)

Ben-Zhang Yang, Xin-Jiang He & Song-Ping Zhu. (2022) Continuous time mean–variance–utility portfolio problem and its equilibrium strategy. Optimization 71:14, pages 4213-4241.
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Fenge Chen & Xingchun Peng. (2021) Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion. Communications in Statistics - Theory and Methods 50:13, pages 3123-3136.
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Marcus C. Christiansen & Mogens Steffensen. (2018) Around the Life Cycle: Deterministic Consumption-Investment Strategies. North American Actuarial Journal 22:3, pages 491-507.
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Articles from other publishers (11)

Xingchun Peng & Fenge Chen. (2020) DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION. Probability in the Engineering and Informational Sciences 36:1, pages 201-216.
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Adrian Falkowski & Leszek Słomiński. (2021) Mean reflected stochastic differential equations with two constraints. Stochastic Processes and their Applications 141, pages 172-196.
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Andreas Lichtenstern, Pavel V. Shevchenko & Rudi Zagst. (2020) Optimal life-cycle consumption and investment decisions under age-dependent risk preferences. Mathematics and Financial Economics 15:2, pages 275-313.
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MARTIN SCHWEIZER, DANIJEL ZIVOI & MARIO ŠIKIĆ. (2018) DYNAMIC MEAN–VARIANCE OPTIMIZATION PROBLEMS WITH DETERMINISTIC INFORMATION. International Journal of Theoretical and Applied Finance 21:02, pages 1850011.
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Marcus C. Christiansen. 2015. Innovations in Quantitative Risk Management. Innovations in Quantitative Risk Management 225 238 .
Montserrat Guillén, Søren Fiig Jarner, Jens Perch Nielsen & Ana M. Pérez-Marín. (2014) Risk-Adjusted Impact of Administrative Costs on the Distribution of Terminal Wealth for Long-Term Investment. The Scientific World Journal 2014, pages 1-12.
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Nicole Bäuerle & Ulrich Rieder. (2013) Optimal Deterministic Investment Strategies for Insurers. Risks 1:3, pages 101-118.
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Andreas Lichtenstern, Pavel V. Shevchenko & Rudi Zagst. (2018) Optimal Consumption and Investment Decisions under Time-Varying Preferences. SSRN Electronic Journal.
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Martin Schweizer, Danijel Zivoi & Mario Sikic. (2017) Dynamic Mean-Variance Optimisation Problems with Deterministic Information. SSRN Electronic Journal.
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Jiawen Gu & Mogens Steffensen. (2015) Optimal Portfolio Liquidation and Dynamic Mean-Variance Criterion. SSRN Electronic Journal.
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Marcus Christian Christiansen & Mogens Steffensen. (2014) Around the Life-Cycle: Deterministic Consumption-Investment Strategies. SSRN Electronic Journal.
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