Dynamic mean-variance portfolio selection with borrowing constraint

European Journal of Operational Research

Volumn 200, Issue 1, 2010, Pages 312-319

  Fu, Chenpeng ^a   Lari Lavassani, Ali ^b   Li, Xun ^c  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

^b UNIVERSITY OF CALGARY   (Canada)

^c HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Borrowing rate; Continuous time finance; Efficient frontier; HJB equation; Mean variance portfolio selection; Optimal portfolio; Stochastic PLQ control

Indexed keywords

BORROWING RATE; CONTINUOUS-TIME FINANCE; EFFICIENT FRONTIER; HJB EQUATION; MEAN-VARIANCE PORTFOLIO SELECTION; OPTIMAL PORTFOLIO; STOCHASTIC PLQ CONTROL;

CONTINUOUS TIME SYSTEMS; PIECEWISE LINEAR TECHNIQUES; STRATEGIC PLANNING;

OPTIMIZATION;

EID: 69249244199     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2009.01.005     Document Type: Article

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