Mean-variance portfolio selection with margin requirements
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Cites work
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- A martingale characterization of consumption choices and hedging costs with margin requirements
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Mean-variance hedging in continuous time
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Stochastic Verification Theorems within the Framework of Viscosity Solutions
Cited in
(5)- A martingale characterization of consumption choices and hedging costs with margin requirements
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- Performance evaluation of portfolios with margin requirements
- Portfolio selection with marginal risk control
- Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints
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