Viscosity solution of mean-variance portfolio selection of a jump Markov process with no-shorting constraints

DOI10.1155/2016/4543298zbMath1435.91171DBLPjournals/jam/Kounta16OpenAlexW2345616422WikidataQ59125193 ScholiaQ59125193MaRDI QIDQ670237

Moussa Kounta

Publication date: 18 March 2019

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2016/4543298

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (1)

Explicit solutions to utility maximization problems in a regime-switching market model via Laplace transforms

Cites Work

• Time-averaging and exponential integrators for non-homogeneous linear IVPs and BVPs
• Viscosity solutions for weakly coupled systems of first-order partial differential equations
• A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Controlled Markov processes and viscosity solutions
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• Viscosity Solutions of Hamilton-Jacobi Equations
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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