Continuous-time Markowitz's model with constraints on wealth and portfolio
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Publication:1709945
DOI10.1016/J.ORL.2016.09.004zbMATH Open1408.91200OpenAlexW2518913503MaRDI QIDQ1709945FDOQ1709945
Authors: Xun Li, Zuo Quan Xu 
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
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Cites Work
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Continuous-time Markowitz's model with transaction costs
- Mean-variance hedging in continuous time
- Optimal multi-period mean-variance policy under no-shorting constraint
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
- Quadratic minimization with portfolio and terminal wealth constraints
- A robust Markowitz mean-variance portfolio selection model with an intractable claim
- Convex duality in constrained mean-variance portfolio optimization
- Cone-constrained continuous-time Markowitz problems
Cited In (11)
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Stochastic Analysis and Applications
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Dividend optimization for jump-diffusion model with solvency constraints
- A stochastic maximum principle for linear quadratic problem with nonconvex control domain
- Free boundary problem for an optimal investment problem with a borrowing constraint
- Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
- Cone-constrained continuous-time Markowitz problems
- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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