Mean-variance portfolio selection with regime switching under shorting prohibition

DOI10.1016/j.orl.2016.07.008zbMath1408.91206OpenAlexW2491396281MaRDI QIDQ1755841

Ping Chen, Miao Zhang

Publication date: 11 January 2019

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

Full work available at URL: https://doi.org/10.1016/j.orl.2016.07.008

zbMATH Keywords

regime switchingportfolio selectionmean-varianceshorting prohibition

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach ⋮ Continuous-time mean-variance portfolio selection with no-shorting constraints and regime-switching ⋮ Research on probability mean-lower semivariance-entropy portfolio model with background risk

Cites Work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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