OPTIMAL MEAN–VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT

DOI10.1142/S0219024920500545zbMath1459.91187OpenAlexW3109455028MaRDI QIDQ5854325

Jingsi Xu

Publication date: 16 March 2021

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

Full work available at URL: https://doi.org/10.1142/s0219024920500545

zbMATH Keywords

Hamilton-Jacobi-Bellman equationverification theoremdynamic optimalitystatic optimalitymean-variance portfolio selectionchange-of-variable formula with local time on curvesconstrained nonlinear optimal control

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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