Dynamic mean-variance portfolio selection with borrowing constraint

DOI10.1016/j.ejor.2009.01.005zbMath1183.91192OpenAlexW2065030872MaRDI QIDQ2379565

Xun Li, Chenpeng Fu, Ali Lari-Lavassani

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

zbMATH Keywords

HJB equation optimal portfolio efficient frontier mean-variance portfolio selection continuous-time finance borrowing rate stochastic PLQ control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10)

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