Dynamic mean-variance portfolio selection with borrowing constraint
From MaRDI portal
Publication:2379565
Recommendations
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process
- Research on dynamic mean-variance portfolio selection under a value-at-risk constraint
- Dynamic mean-variance optimal portfolio selection with benchmark processes
- Dynamic mean-variance portfolio selection with liability and no-shorting constraints
Cites work
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex Programming and Duality in Normed Space
- Convex duality in constrained portfolio optimization
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Hedging American contingent claims with constrained portfolios
- Mean-variance hedging in continuous time
- No arbitrage in discrete time under portfolio constraints.
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal portfolio policies with borrowing and shortsale constraints
- Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs
- Stochastic Verification Theorems within the Framework of Viscosity Solutions
- Stochastic linear quadratic regulators with indefinite control weight costs. II
Cited in
(69)- Dynamic asset-liability management in a Markov market with stochastic cash flows
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- Asset allocation for a DC pension fund with stochastic income and mortality risk: a multi-period mean-variance framework
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- A mean-field formulation for optimal multi-period mean-variance portfolio selection with an uncertain exit time
- Optimal multi-period mean-variance policy under no-shorting constraint
- Multi-period Telser's safety-first portfolio selection problem in a defined contribution pension plan
- Comparison of mean variance like strategies for optimal asset allocation problems
- A multi-period fuzzy portfolio optimization model with minimum transaction lots
- Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- Multi-period mean-semivariance portfolio optimization based on uncertain measure
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Continuous time mean variance asset allocation: a time-consistent strategy
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
- Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
- A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
- A mean-variance optimization problem for discounted Markov decision processes
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Massively parallel processing of recursive multi-period portfolio models
- A discontinuous mispricing model under asymmetric information
- Optimal decision-making of mutual fund temporary borrowing problem via approximate dynamic programming
- Portfolio selection theory with different interest rates for borrowing and lending
- On the first passage \(g\)-mean-variance optimality for discounted continuous-time Markov decision processes
- Research on dynamic mean-variance portfolio selection under a value-at-risk constraint
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Finite horizon portfolio selection problems with stochastic borrowing constraints
- Open-loop equilibrium strategy for mean-variance portfolio selection: a log-return model
- An analytic derivation of admissible efficient frontier with borrowing
- Income drawdown option with minimum guarantee
- Stochastic portfolio selection problem with reliability criteria
- Multi-period portfolio selection with mental accounts and realistic constraints based on uncertainty theory
- Time-consistent portfolio policy for asset-liability mean-variance model with state-dependent risk aversion
- Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
- Fuzzy multi-period portfolio selection with different investment horizons
- A Hamilton-Jacobi-Bellman approach to optimal trade execution
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- Dynamic mean-variance model with borrowing constraint under the constant elasticity of variance process
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Characterization of efficient frontier for mean-variance model with a drawdown constraint
- Investment strategies and compensation of a mean-variance optimizing fund manager
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- Portfolio optimization with asset-liability ratio regulation constraints
- A mispricing model of stocks under asymmetric information
- Portfolio selection problem with liquidity constraints under non-extensive statistical mechanics
- Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE
- Mean-variance asset-liability management under constant elasticity of variance process
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
- Understanding dynamic mean variance asset allocation
- Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
- Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
- Credibilitic mean-variance model for multi-period portfolio selection problem with risk control
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
- A dynamic programming approach to constrained portfolios
This page was built for publication: Dynamic mean-variance portfolio selection with borrowing constraint
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2379565)
