Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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Cited in
(only showing first 100 items - show all)- Dynamic mean-variance problem with constrained risk control for the insurers
- Dynamic portfolio optimization with risk control for absolute deviation model
- Optimal algorithms and intuitive explanations for Markowitz's portfolio selection model and Sharpe's ratio with no short-selling
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- A random parameter model for continuous-time mean-variance asset-liability management
- Closed-form optimal strategies of continuous-time options with stochastic differential equations
- Mean-variance portfolio selection in a complete market with unbounded random coefficients
- Continuous-time Markowitz's model with constraints on wealth and portfolio
- Non-smooth analysis method in optimal investment-BSDE approach
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Continuous-time mean-variance portfolio selection under the CEV process
- Well-posedness of stochastic Riccati equations and closed-loop solvability for stochastic linear quadratic optimal control problems
- Mean-variance portfolio selection with regime switching under shorting prohibition
- A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A mispricing model of stocks under asymmetric information
- Fuzzy multi-period portfolio selection optimization models using multiple criteria
- A new look at the Lagrange method for continuous-time stochastic optimization
- Cone-constrained continuous-time Markowitz problems
- Arbitrage-free conditions and hedging strategies for markets with penalty costs on short positions
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Time-consistent investment policies in Markovian markets: a case of mean-variance analysis
- Optimal investment problem under non-extensive statistical mechanics
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Constrained stochastic LQ optimal control problem with random coefficients on infinite time horizon
- Weak closed-loop solvability of stochastic linear quadratic optimal control problems of Markovian regime switching system
- Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- High dimensional Markovian trading of a single stock
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Social optima in mean field linear-quadratic-Gaussian models with control input constraint
- Mean-field formulation for mean-variance asset-liability management with cash flow under an uncertain exit time
- A general linear quadratic stochastic control and information value
- On continuous-time constrained stochastic linear-quadratic control
- Mean-variance asset-liability management problem under non-Markovian regime-switching models
- Mixed linear quadratic stochastic differential leader-follower game with input constraint
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- A class of portfolio selection with a four-factor futures price model
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Dynamic mean-variance portfolio selection with borrowing constraint
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Optimal stopping investment with non-smooth utility over an infinite time horizon
- Continuous-time mean-variance portfolio selection with random horizon
- Optimal investment policy in the time consistent mean-variance formulation
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Correction on ``Optimal portfolio selection when stock prices follow an jump-diffusion process
- Optimal multi-period mean-variance policy under no-shorting constraint
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Time consistent policy of multi-period mean-variance
- Mean-variance asset-liability management under constant elasticity of variance process
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Convergence of the embedded mean-variance optimal points with discrete sampling
- A note on monotone mean-variance preferences for continuous processes
- Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
- Free boundary problem for an optimal investment problem with a borrowing constraint
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Survey on multi-period mean-variance portfolio selection model
- Continuous-time portfolio optimization for absolute return funds
- Mean-variance portfolio selection with random investment horizon
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- Constrained dynamic futures portfolios with stochastic basis
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Comparison of mean variance like strategies for optimal asset allocation problems
- Mean-variance portfolio selection based on a generalized BNS stochastic volatility model
- Dynamic mean-variance portfolio selection based on a stochastic benchmark
- Modelling on optimal portfolio with exchange rate based on discontinuous stochastic process
- Dynamic portfolio selection under capital-at-risk with no short-selling constraints
- Stochastic linear-quadratic control problem with no-shorting constraints follow jump-diffusion process
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Optimum Constrained Portfolio Rules in a Diffusion Market
- Convex duality in constrained mean-variance portfolio optimization
- Investing equally in risk
- Mean-variance portfolio selection with margin requirements
- Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
- Error estimates for the logarithmic barrier method in linear quadratic stochastic optimal control problems
- Dynamic optimal portfolio with maximum absolute deviation model
- The premium of dynamic trading in a discrete-time setting
- On Finding Equilibrium Stopping Times for Time-Inconsistent Markovian Problems
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Linear-quadratic-Gaussian mixed mean-field games with heterogeneous input constraints
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Constrained dynamic optimality and binomial terminal wealth
- Asset and liability management with no-shorting constraints of an insurance company
- Better than dynamic mean-variance: time inconsistency and free cash flow stream
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Multiperiod mean-variance efficient portfolios with endogenous liabilities
- Dynamic mean-variance portfolio selection with liability and no-shorting constraints
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