Cone-constrained continuous-time Markowitz problems

DOI10.1214/12-AAP855zbMath1268.91162arXiv1206.0243OpenAlexW3123320877MaRDI QIDQ1948703

Christoph Czichowsky, Martin Schweizer

Publication date: 24 April 2013

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1206.0243

zbMATH Keywords

stochastic controlsemimartingalesbackward stochastic differential equationsportfolio selectionlinear-quadratic controlmean-variance hedgingcone constraintsMarkowitz problem\(\varepsilon\)-martingalesmartingale optimality principleopportunity process

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Linear-quadratic optimal control problems (49N10) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (12)

Short Communication: Cone-Constrained Monotone Mean-Variance Portfolio Selection under Diffusion Models ⋮ Convergence of the embedded mean-variance optimal points with discrete sampling ⋮ Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Quadratic expansions in optimal investment with respect to perturbations of the semimartingale model ⋮ Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency ⋮ Continuous-time Markowitz's model with constraints on wealth and portfolio ⋮ Convex Duality in Mean-Variance Hedging Under Convex Trading Constraints ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Optimal dynamic mean-variance portfolio subject to proportional transaction costs and no-shorting constraint ⋮ Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR ⋮ Constrained stochastic LQ control with regime switching and application to portfolio selection

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