Continuous-time mean-variance portfolio selection under the CEV process

DOI10.1155/2014/363046zbMath1406.91419OpenAlexW2005708118WikidataQ59036651 ScholiaQ59036651MaRDI QIDQ1723934

Hui-qiang Ma

Publication date: 14 February 2019

Published in: Abstract and Applied Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/363046

zbMATH Keywords

stochastic optimal controlmean-variance portfolio selectionconvex program problem

Mathematics Subject Classification ID

Convex programming (90C25) Optimal stochastic control (93E20) Portfolio theory (91G10)

Cites Work

• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
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• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Benchmark and mean-variance problems for insurers
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• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Optimal portfolios for DC pension plans under a CEV model
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Convex Programming and Duality in Normed Space
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
• Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market

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