We propose a simplified approach to mean-variance portfolio problems by changingtheir parametrisation from trading strategies to final positions. This allows us to treat,under a very mild no-arbitrage-type assumption, a whole range of quadratic optimisationproblems by simple mathematical tools...

The Markowitz problem consists of finding in a financial market a self-financingtrading strategy whose final wealth has maximal mean and minimal variance. Westudy this in continuous time in a general semimartingale model and under coneconstraints: Trading strategies must take values in a...