The mean-variance investment problem in a constrained financial market

DOI10.1016/j.jmateco.2006.04.012zbMath1153.91565OpenAlexW1965509269MaRDI QIDQ859607

Wan Gui Sun, Chun-Feng Wang

Publication date: 16 January 2007

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2006.04.012

zbMATH Keywords

continuous timeefficient frontierconstrained financial marketmean-variance investment problemtwo-fund separation theorem

Mathematics Subject Classification ID

Related Items (7)

Better than pre-committed optimal mean-variance policy in a jump diffusion market ⋮ Simplified mean-variance portfolio optimisation ⋮ Time-consistent mean-variance portfolio selection in discrete and continuous time ⋮ Cone-constrained continuous-time Markowitz problems ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Optimal multi-period mean-variance policy under no-shorting constraint

Cites Work

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• The variance-optimal martingale measure for continuous processes
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• An Intertemporal Capital Asset Pricing Model
• From actuarial to financial valuation principles
• Claim pricing and hedging under market incompleteness and ``mean-variance preferences
• Dynamic asset allocation with mean variance preferences and a solvency constraint

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