Dynamic mean-variance portfolio selection with borrowing constraint
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Publication:2379565
DOI10.1016/J.EJOR.2009.01.005zbMATH Open1183.91192OpenAlexW2065030872MaRDI QIDQ2379565FDOQ2379565
Authors: Chenpeng Fu, Ali Lari-Lavassani, Xun Li 
Publication date: 19 March 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.01.005
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HJB equationoptimal portfolioefficient frontiermean-variance portfolio selectioncontinuous-time financeborrowing ratestochastic PLQ control
Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
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Cited In (69)
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- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
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- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
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