Continuous-time Markowitz's model with constraints on wealth and portfolio

DOI10.1016/j.orl.2016.09.004zbMath1408.91200OpenAlexW2518913503MaRDI QIDQ1709945

Zuo Quan Xu, Xun Li

Publication date: 15 January 2019

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2016.09.004

zbMATH Keywords

HJB equationefficient frontierbankruptcy prohibitionstochastic LQ controlconvex cone constraintsMarkowitz's mean-variance model

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (6)

Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Free boundary problem for an optimal investment problem with a borrowing constraint ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Dividend optimization for jump-diffusion model with solvency constraints ⋮ A stochastic maximum principle for linear quadratic problem with nonconvex control domain ⋮ Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching

Cites Work

• Mean-variance hedging in continuous time
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Cone-constrained continuous-time Markowitz problems
• Quadratic minimization with portfolio and terminal wealth constraints
• Optimal multi-period mean-variance policy under no-shorting constraint
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Continuous-Time Markowitz's Model with Transaction Costs
• Convex duality in constrained mean-variance portfolio optimization
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection

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