Mean-variance portfolio selection with regime switching under shorting prohibition

DOI10.1016/J.ORL.2016.07.008MaRDI QIDQ1755841zbMATH OpenOpenAlexFDO

Authors Miao Zhang, Ping Chen

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

mean-varianceportfolio selectionregime switchingshorting prohibition

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• 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 asset-liability management with regime switching: a continuous-time model
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation

Cited in

(11)

• Reliable portfolio selection problem in fuzzy environment: an \(m_\lambda\) measure based approach
• Mean-variance portfolio selection in presence of infrequently traded stocks
• Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
• Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Optimal mean-variance portfolio selection with no-short-selling constraint
• Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
• Mean-variance portfolio selection under no-shorting rules: a BSDE 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
• The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method

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