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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- A dynamic programming approach to constrained portfolios
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Dynamic asset-liability management in a Markov market with stochastic cash flows
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