Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem

MaRDI QIDQ2712239zbMATH OpenFDO

Authors Xun Yu Zhou, Duan Li

Publication date 30 October 2001

zbMATH Keywords

stochastic control problemportfolio selection problembi-criteria optimization problemstochastic linear-quadratic (LQ) problems

Mathematics Subject Classification ID

Multi-objective and goal programming (90C29) Portfolio theory (91G10) Optimal stochastic control (93E20)

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• Constrained stochastic recursive linear quadratic optimal control problems and application to finance
• Continuous time mean-variance portfolio optimization through the mean field approach
• Convergence of the embedded mean-variance optimal points with discrete sampling
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• The explicit derivation of the efficient portfolio frontier in the case of degeneracy and general singularity
• A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging
• Behavioral mean-variance portfolio selection
• Mean‐Semivariance Efficient Frontier: A Downside Risk Model for Portfolio Selection
• A stochastic maximum principle for linear quadratic problem with nonconvex control domain
• HARA frontiers of optimal portfolios in stochastic markets
• Mean-variance portfolio selection with margin requirements
• Well-posedness and attainability of indefinite stochastic linear quadratic control in infinite time horizon
• Preservation of scalarization optimal points in the embedding technique for continuous time mean variance optimization

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