Fu, Chenpeng; Lari-Lavassani, Ali; Li, Xun - In: European Journal of Operational Research 200 (2010) 1, pp. 312-319
This paper derives explicit closed form solutions, for the efficient frontier and optimal investment strategy, for the dynamic mean-variance portfolio selection problem under the constraint of a higher borrowing rate. The method used is the Hamilton-Jacobi-Bellman (HJB) equation in a stochastic...