Continuous-time mean–variance portfolio selection with value-at-risk and no-shorting constraints
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Publication:5745553
DOI10.1080/00207179.2011.638326zbMath1281.91147OpenAlexW2052433637MaRDI QIDQ5745553
Publication date: 30 January 2014
Published in: International Journal of Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207179.2011.638326
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Diffusion processes (60J60) Portfolio theory (91G10)
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Cites Work
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- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Convex duality in constrained portfolio optimization
- Hedging American contingent claims with constrained portfolios
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- OPTIMAL CONSUMPTION AND PORTFOLIO SELECTION WITH INCOMPLETE MARKETS AND UPPER AND LOWER BOUND CONSTRAINTS
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Martingale Analysis for Assets with Discontinuous Returns
- Option pricing when underlying stock returns are discontinuous
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