Mean-variance portfolio selection under no-shorting rules: a BSDE approach

DOI10.1016/j.sysconle.2023.105545zbMath1526.91024MaRDI QIDQ6174059

Xun Li, Liangquan Zhang

Publication date: 13 July 2023

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

viscosity solutionHJB equationrecursive utilityefficient frontiermean-variance portfolio selectionshort-selling prohibition

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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