Dynamic asset allocation with mean variance preferences and a solvency constraint

DOI10.1016/S0165-1889(00)00026-9zbMath0990.91018MaRDI QIDQ5958786

R. Portait, P. Nguyen

Publication date: 3 March 2002

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

zbMATH Keywords

portfoliocontinuous rebalancinginvestment opportunitysolvency constraint

Mathematics Subject Classification ID

Related Items

COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS, Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation, The mean-variance investment problem in a constrained financial market, Mean-variance problem for an insurer with default risk under a jump-diffusion risk model, Continuous time mean variance asset allocation: a time-consistent strategy, Mean-variance portfolio selection of cointegrated assets, Optimal portfolio allocations with tracking error volatility and stochastic hedging constraints

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