Markowitz strategies revised

DOI10.1016/S0252-9602(09)60072-2MaRDI QIDQ979477zbMATHOpenAlexFDO

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)

Recommendations

• scientific article; zbMATH DE number 1944278
• Stochastic Analysis and Applications
• Generalized Markowitz mean–variance principles for multi–period portfolio–selection problems
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Cone-constrained continuous-time Markowitz problems

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

This page was built for publication: Markowitz strategies revised

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q979477)