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

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Cited In (3)

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

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