Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time
This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfolio policy of our model. In addition, we provid...
| Main Authors: | , , , |
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| 格式: | Article |
| 語言: | English |
| 出版: |
MDPI AG
2021-08-01
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| 叢編: | Algorithms |
| 主題: | |
| 在線閱讀: | https://www.mdpi.com/1999-4893/14/8/252 |