DYNAMIC PORTFOLIO SELECTION UNDER CAPITAL-AT-RISK WITH NO SHORT-SELLING CONSTRAINTS

DOI10.1142/S0219024911006802zbMath1282.91300MaRDI QIDQ3100996

Antony Ware, Xun Li, Ali Lari-Lavassani, Gordana Dmitrasinovic-Vidovic

Publication date: 22 November 2011

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

portfolio optimizationportfolio selectioncontinuous-timeshort-sellingcapital at risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?

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