Continuous-time mean-variance portfolio selection under the CEV process

DOI10.1155/2014/363046MaRDI QIDQ1723934zbMATH OpenOpenAlexWikidataFDO

Authors Hui-qiang Ma

Publication date 14 February 2019

Published in Abstract and Applied Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution 3.0 Unported

Full work available at URL https://doi.org/10.1155/2014/363046

zbMATH Keywords

stochastic optimal controlmean-variance portfolio selectionconvex program problem

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• Asset and liability management under a continuous-time mean-variance optimization framework
• Benchmark and mean-variance problems for insurers
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Continuous-time mean-variance portfolio selection with liability and regime switching
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• Convex Programming and Duality in Normed Space
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal portfolios for DC pension plans under a CEV model
• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

Cited in

(2)

• Mean-variance portfolio selection under a constant elasticity of variance model
• Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process

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