Dynamic mean-variance portfolio selection with non-shorting constraints

SIAM Journal on Control and Optimization

Volumn 40, Issue 5, 2002, Pages 1540-1555

  Li, Xun ^a   Zhou, Xun Yu ^a   Lim, Andrew E B ^a  

^a CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Continuous time; Efficient frontier; HJB equation; Mean variance portfolio selection; Short selling prohibition; Stochastic LQ control; Viscosity solution

Indexed keywords

BROWNIAN MOVEMENT; CONSTRAINT THEORY; HAMILTONIANS; INVENTORY CONTROL; INVESTMENTS; LINEAR CONTROL SYSTEMS; MATRIX ALGEBRA; OPTIMAL CONTROL SYSTEMS; RICCATI EQUATIONS; SALES; STOCHASTIC CONTROL SYSTEMS; VECTORS;

CONTINUOUS TIME SYSTEMS; HAMILTON-JACOBI-BELLMAN EQUATION; MEAN VARIANCE PORTFOLIO SELECTION; SHORT SELLING PROHIBITION; STOCHASTIC LINEAR QUADRATIC CONTROL; VISCOSITY SOLUTION;

QUADRATIC PROGRAMMING;

EID: 0036403910     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900378504     Document Type: Article

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