Mean-variance portfolio selection with margin requirements

DOI10.1155/2013/726297zbMATH Open1268.91183OpenAlexW2036353147WikidataQ59015677 ScholiaQ59015677MaRDI QIDQ355783FDOQ355783

Authors: Yuan Zhou, Zhe Wu 

Publication date: 25 July 2013

Published in: Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2013/726297

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Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites Work

• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Title not available (Why is that?)
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• Mean-variance hedging in continuous time
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• A martingale characterization of consumption choices and hedging costs with margin requirements
• 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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