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

DOI10.1155/2014/363046zbMATH Open1406.91419OpenAlexW2005708118WikidataQ59036651 ScholiaQ59036651MaRDI QIDQ1723934FDOQ1723934

Authors: 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

Recommendations

• Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process
• Mean-variance portfolio selection under a constant elasticity of variance model
• Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
• On the constant elasticity of variance model for the utility maximization problem with multiple risky assets
• Portfolio optimization under the stochastic elasticity of variance

zbMATH Keywords

stochastic optimal controlmean-variance portfolio selectionconvex program problem

Mathematics Subject Classification ID

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

Cites Work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Optimal portfolios for DC pension plans under a CEV model
• 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
• Benchmark and mean-variance problems for insurers
• The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Convex Programming and Duality in Normed Space
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
• Continuous-time mean-variance portfolio selection with liability and regime switching
• Asset and liability management under a continuous-time mean-variance optimization framework
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach

Cited In (2)

• Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process
• Mean-variance portfolio selection under a constant elasticity of variance model

This page was built for publication: Continuous-time mean-variance portfolio selection under the CEV process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1723934)