Mean-variance portfolio selection with margin requirements

DOI10.1155/2013/726297zbMath1268.91183OpenAlexW2036353147WikidataQ59015677 ScholiaQ59015677MaRDI QIDQ355783

Zhe Wu, Yuan Zhou

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

Mathematics Subject Classification ID

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

Related Items (2)

Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements ⋮ Performance evaluation of portfolios with margin requirements

Cites Work

• Unnamed Item
• Mean-variance hedging in continuous time
• A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• A Martingale Characterization of Consumption Choices and Hedging Costs with Margin Requirements
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Stochastic Verification Theorems within the Framework of Viscosity Solutions
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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