Stochastic Analysis and Applications

DOI10.1007/978-3-540-70847-6zbMATH Open1151.91516OpenAlexW3144496105MaRDI QIDQ5436610FDOQ5436610

Authors: Hanqing Jin, Xun Yu Zhou 

Publication date: 17 January 2008

Full work available at URL: https://doi.org/10.1007/978-3-540-70847-6

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Mathematics Subject Classification ID

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

Cited In (13)

• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
• Markowitz strategies revised
• The mean-variance investment problem in a constrained financial market
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• Successive approximation of SFDEs with finite delay driven by \(G\)-Brownian motion
• MARKOWITZ'S PORTFOLIO OPTIMIZATION IN AN INCOMPLETE MARKET
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• Continuous-time Markowitz's model with constraints on wealth and portfolio
• A general linear quadratic stochastic control and information value
• Delay feedback stabilisation of stochastic differential equations driven by G-Brownian motion
• Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Cone-constrained continuous-time Markowitz problems

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