Continuous-time Markowitz's model with constraints on wealth and portfolio
Year of publication: |
November 2016
|
---|---|
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
|
Subject: | Markowitz's mean-variance model | Bankruptcy prohibition | Convex cone constraints | Efficient frontier | Stochastic LQ control | HJB equation | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Insolvenz | Insolvency | Stochastischer Prozess | Stochastic process |
-
Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence
Tian, Yingxu, (2018)
-
Duarte, Thiago B., (2017)
-
A linear stochastic programming model for optimal leveraged portfolio selection
Valladão, Davi Michel, (2018)
- More ...
-
Optimal insurance under rank-dependent utility and incentive compatibility
Xu, Zuo Quan, (2018)
-
An Optimal Consumption-Investment Model with Constraint on Consumption
Xu, Zuo Quan, (2014)
-
A New Characterization of Comonotonicity and its Application in Behavioral Finance
Xu, Zuo Quan, (2013)
- More ...