Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints

DOI10.1155/2016/4543298zbMATH Open1435.91171DBLPjournals/jam/Kounta16OpenAlexW2345616422WikidataQ59125193 ScholiaQ59125193MaRDI QIDQ670237FDOQ670237

Authors Moussa Kounta

Publication date 18 March 2019

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

Full work available at URL https://doi.org/10.1155/2016/4543298

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Controlled Markov processes and viscosity solutions
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Time-averaging and exponential integrators for non-homogeneous linear IVPs and BVPs
• Viscosity Solutions of Hamilton-Jacobi Equations
• Viscosity solutions for weakly coupled systems of first-order partial differential equations

Cited in

(6)

• Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms
• Mean-variance portfolio selection with a stochastic cash flow in a Markov-switching jump-diffusion market
• Mean-variance portfolio selection with margin requirements
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• scientific article; zbMATH DE number 1642353 (Why is no real title available?)
• Stochastic linear-quadratic control problem with no-shorting constraints follow jump-diffusion process

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