Continuous-time Markowitz's model with constraints on wealth and portfolio
Xun Li, Zuo Quan Xu
| Year of publication: |
November 2016
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|---|---|
| Authors: | Li, Xun ; Xu, Zuo Quan |
| Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 44.2016, 6, p. 729-736
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| Subject: | Markowitz's mean-variance model | Bankruptcy prohibition | Convex cone constraints | Efficient frontier | Stochastic LQ control | HJB equation | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.orl.2016.09.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011622222