Continuous-time Markowitz's model with constraints on wealth and portfolio
type: Item
instance of: scholarly article
title: Continuous-time Markowitz's model with constraints on wealth and portfolio
zbMATH Open document ID: 1408.91200
author: Xun Li
author: Zuo Quan Xu
published in: Operations Research Letters
publication date: 2019-01-15T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7002339
zbMATH Keywords: Markowitz's mean-variance model
zbMATH Keywords: bankruptcy prohibition
zbMATH Keywords: convex cone constraints
zbMATH Keywords: efficient frontier
zbMATH Keywords: stochastic LQ control
zbMATH Keywords: HJB equation
MaRDI profile type: Publication
full work available at URL: j.orl.2016.09.004
OpenAlex ID: W2518913503
cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
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cites work: Continuous-Time Markowitz's Model with Transaction Costs
cites work: Mean-variance hedging in continuous time
cites work: Quadratic minimization with portfolio and terminal wealth constraints
cites work: A robust Markowitz mean-variance portfolio selection model with an intractable claim
cites work: Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
cites work: Convex duality in constrained mean-variance portfolio optimization
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
DOI: 10.1016/J.ORL.2016.09.004
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description: scientific article; zbMATH DE number 7002339