Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
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Publication:4537800
DOI10.1137/S0363012900378504zbMath1027.91040MaRDI QIDQ4537800
Xun Li, Andrew E. B. Lim, Xun Yu Zhou
Publication date: 23 June 2002
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
viscosity solutionHJB equationefficient frontierstochastic LQ controlmean-variance portfolio selectionshort-selling constraints
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