CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

backward stochastic differential equation continuous time Lagrange multiplier Black-Scholes equation mean-variance portfolio selection contingent claim

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

Optimum consumption and portfolio rules in a continuous-time model
Forward-backward stochastic differential equations and their applications
Optimal dynamic portfolio selection: multiperiod mean-variance formulation
Backward Stochastic Differential Equations in Finance
Mathematics of financial markets
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Cited In (only showing first 100 items - show all)

Delegated dynamic portfolio management under mean-variance preferences
Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
Optimal mean-variance reinsurance in a financial market with stochastic rate of return
The optimal portfolio selection model under \(g\)-expectation
Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
A regular equilibrium solves the extended HJB system
A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
A note on - vs. -expected loss portfolio constraints
Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk
Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
Mean-risk portfolio management with bankruptcy prohibition
A mean-field formulation for multi-period asset-liability mean-variance portfolio selection with probability constraints
Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
Time-varying mean-variance portfolio selection problem solving via LVI-PDNN
On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
A benchmarking approach to track and compare administrative charges on flow and balance in individual account pension systems
A varying terminal time mean-variance model
Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
Optimal pairs trading with dynamic mean-variance objective
Maximum principle of optimal stochastic control with terminal state constraint and its application in finance
Equilibrium strategy for mean-variance-utility portfolio selection under Heston's SV model
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Optimal asset portfolio with stochastic volatility under the mean-variance utility with state-dependent risk aversion
BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
Better than optimal mean-variance portfolio policy in multi-period asset-liability management problem
Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
Income drawdown option with minimum guarantee
Necessary optimality conditions for local minimizers of stochastic optimal control problems with state constraints
Dynamic asset–liability management in a Markov market with stochastic cash flows
Mean–variance portfolio selection based on a generalized BNS stochastic volatility model
Time-consistent investment strategy under partial information
Investment strategies and compensation of a mean-variance optimizing fund manager
A stochastic maximum principle for linear quadratic problem with nonconvex control domain
Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint
Quadratic minimization with portfolio and intertemporal wealth constraints
Optimal portfolio selection of mean-variance utility with stochastic interest rate
Constrained Utility Deviation-Risk Optimization and Time-Consistent HJB Equation
Continuous-time safety-first portfolio selection with jump-diffusion processes
Portfolio theory for squared returns correlated across time
Equilibrium reinsurance-investment strategies with partial information and common shock dependence
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
Utility-Deviation-Risk Portfolio Selection
Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
A note on monotone mean-variance preferences for continuous processes
Quadratic minimization with portfolio and terminal wealth constraints
A robust Markowitz mean-variance portfolio selection model with an intractable claim
Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
Cone-constrained continuous-time Markowitz problems
Non-smooth analysis method in optimal investment-BSDE approach
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Mean-variance portfolio selection for a non-life insurance company
Optimal multi-period mean-variance policy under no-shorting constraint
Comparison of mean variance like strategies for optimal asset allocation problems
Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS
Constrained Dynamic Optimality and Binomial Terminal Wealth
An HJB approach to a general continuous-time mean-variance stochastic control problem
Continuous time mean variance asset allocation: a time-consistent strategy
Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
Dynamic cointegrated pairs trading: mean-variance time-consistent strategies
Efficient frontier of utility and CVaR
Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies
Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation
Continuous-time mean-variance efficiency: the 80\% rule
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
A mean-variance optimization problem for discounted Markov decision processes
ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING
Mean-variance portfolio selection in presence of infrequently traded stocks
Continuous-time mean-variance portfolios: a comparison
Mean–Variance Optimal Adaptive Execution
Convergence of the embedded mean-variance optimal points with discrete sampling
Dynamic safety first expected utility model
Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints
Asset-liability management under the safety-first principle
Dynamic portfolio optimization with risk control for absolute deviation model
Optimal investment policy in the time consistent mean-variance formulation
Optimal portfolio selection strategies under some constraints
Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
Optimal reinsurance problems with extrapolative claim expectation
Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
A Hamilton-Jacobi-Bellman approach to optimal trade execution
Multi-period portfolio optimization for asset-liability management with bankrupt control
Continuous time mean‐variance optimal portfolio allocation under jump diffusion: An numerical impulse control approach
Behavioral mean-variance portfolio selection
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Behavioral mean-risk portfolio selection in continuous time via quantile
MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
Asset and liability management under a continuous-time mean-variance optimization framework

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