Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach

DOI10.1016/j.ejor.2015.10.015zbMath1348.91250OpenAlexW1937585961MaRDI QIDQ322571

Peter A. I. Forsyth, Duy Minh Dang

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.015

zbMATH Keywords

investment analysisHJB equationfinanceconstrained pre-commitment mean-variance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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