The mean-variance investment problem in a constrained financial market (Q859607): Difference between revisions

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+The variance-optimal martingale measure for continuous processes
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+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
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+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
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+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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+Claim pricing and hedging under market incompleteness and ``mean-variance'' preferences
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+An Intertemporal Capital Asset Pricing Model
@@ Property / cites work: An Intertemporal Capital Asset Pricing Model / rank @@
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+Dynamic asset allocation with mean variance preferences and a solvency constraint
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+From actuarial to financial valuation principles
@@ Property / cites work: From actuarial to financial valuation principles / rank @@
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+Q3966611
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