MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET

DOI10.1111/j.1467-9965.2006.00268.xzbMath1128.91030OpenAlexW2014943030MaRDI QIDQ5472785

Jia'an Yan, Jian-ming Xia

Publication date: 12 June 2006

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00268.x

zbMATH Keywords

Lévy processesconvex dualitymean-variance portfoliosattainable claimssigned martingale measures

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)

Related Items (14)

Structure condition under initial enlargement of filtration ⋮ Mean–variance portfolio selection based on a generalized BNS stochastic volatility model ⋮ On the structure of general mean-variance hedging strategies ⋮ The premium of dynamic trading in a discrete-time setting ⋮ A mean-variance optimization problem for discounted Markov decision processes ⋮ Convex risk measures on Orlicz spaces: inf-convolution and shortfall ⋮ Simplified mean-variance portfolio optimisation ⋮ Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps ⋮ High dimensional mean-variance optimization through factor analysis ⋮ Portfolio selection problems with Markowitz's mean-variance framework: a review of literature ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ $\mathcal{L}^p$-PROJECTIONS OF RANDOM VARIABLES AND ITS APPLICATION TO FINANCE ⋮ Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets ⋮ A mean-field formulation for the mean-variance control of discrete-time linear systems with multiplicative noises

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