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

DOI10.1016/J.ORL.2016.09.004MaRDI QIDQ1709945zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

bankruptcy prohibitionHJB equationstochastic LQ controlefficient frontierconvex cone constraintsMarkowitz's mean-variance model

Mathematics Subject Classification ID

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

Recommendations

• Continuous-time portfolio optimization under terminal wealth constraints
• Stochastic Analysis and Applications
• Continuous-time optimal portfolio under a value-at-risk constraint
• Continuous-time Markowitz's model with transaction costs
• Cone-constrained continuous-time Markowitz problems
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Optimum consumption and portfolio rules in a continuous-time model
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Portfolio optimization with wealth-dependent risk constraints
• Continuous time mean-variance-utility portfolio problem and its equilibrium strategy

Cites work

• A robust Markowitz mean-variance portfolio selection model with an intractable claim
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Cone-constrained continuous-time Markowitz problems
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• Continuous-time Markowitz's model with transaction costs
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Convex duality in constrained mean-variance portfolio optimization
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Mean-variance hedging in continuous time
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Optimal multi-period mean-variance policy under no-shorting constraint
• Quadratic minimization with portfolio and terminal wealth constraints

Cited in

(11)

• Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models
• A stochastic maximum principle for linear quadratic problem with nonconvex control domain
• Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
• Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching
• Cone-constrained continuous-time Markowitz problems
• Stochastic Analysis and Applications
• CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
• Dividend optimization for jump-diffusion model with solvency constraints
• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
• Free boundary problem for an optimal investment problem with a borrowing constraint

This page was built for publication: Continuous-time Markowitz's model with constraints on wealth and portfolio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1709945)