Markowitz strategies revised

DOI10.1016/S0252-9602(09)60072-2zbMATH Open1212.91101OpenAlexW2040522405MaRDI QIDQ979477FDOQ979477

Authors Jia-An Yan, Xun Yu Zhou

Publication date 8 July 2010

Published in Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0252-9602(09)60072-2

zbMATH Keywords

stopping timeexpected losscontinuous-time portfolio selectiongoal-reaching probabilityMarkowitz efficient strategies

Mathematics Subject Classification ID

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

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Cited in

(3)

• Goal achieving probabilities of constrained mean-variance strategies
• Markowitz revisited: social portfolio engineering
• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations

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