Short communication: cone-constrained monotone mean-variance portfolio selection under diffusion models

DOI10.1137/22M1487527MaRDI QIDQ5045197zbMATH OpenFDO

Authors Yang Shen, Bin Zou

Publication date 4 November 2022

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2205.15905

zbMATH Keywords

Hamilton-Jacobi-Bellman equationoptimal investmentportfolio constraints, monotone mean-variance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Portfolio theory (91G10) Optimal stochastic control (93E20)

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• Cone-constrained continuous-time Markowitz problems
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• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
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Cites work

• A note on monotone mean-variance preferences for continuous processes
• Better than dynamic mean-variance: time inconsistency and free cash flow stream
• Complete markets do not allow free cash flow streams
• Cone-constrained continuous-time Markowitz problems
• Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
• Continuous-time Markowitz's model with constraints on wealth and portfolio
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Continuous-time portfolio choice under monotone mean-variance preferences -- stochastic factor case
• Controlled Markov processes and viscosity solutions
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Introduction to nonlinear optimization: theory, algorithms, and applications with MATLAB
• Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
• On the computation of optimal monotone mean-variance portfolios via truncated quadratic utility
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Semimartingale theory of monotone mean–variance portfolio allocation
• The variance-optimal martingale measure for continuous processes

Cited in

(10)

• Simplified mean-variance portfolio optimisation
• Cone-constrained continuous-time Markowitz problems
• A note on monotone mean-variance preferences for continuous processes
• PORTFOLIO SELECTION WITH MONOTONE MEAN-VARIANCE PREFERENCES
• Constrained Monotone Mean-Variance Problem with Random Coefficients
• Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models
• Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
• Comparison between mean-variance and monotone mean-variance preferences in general markets: a new perspective
• Optimal strategies and values for monotone and classical mean-variance preferences coincide when asset prices are continuous
• Continuous-time optimal reporting with full insurance under the mean-variance criterion

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