Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints
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Publication:670237
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
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Cites Work
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Controlled Markov processes and viscosity solutions
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Viscosity Solutions of Hamilton-Jacobi Equations
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Time-averaging and exponential integrators for non-homogeneous linear IVPs and BVPs
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- Viscosity solutions for weakly coupled systems of first-order partial differential equations
Cited In (4)
- Title not available (Why is that?)
- 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
- Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
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