Yao, Haixiang; Li, Zhongfei; Chen, Shumin - In: Economic Modelling 36 (2014) C, pp. 244-251
We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting with multiple assets that all can be risky. Using the Lagrange duality method and the dynamic programming approach, we derive explicit closed-form expressions for the efficient...