Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time

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...

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Bibliographic Details
Main Authors: Weiping Wu, Lifen Wu, Ruobing Xue, Shan Pang
Format: Article
Language:English
Published: MDPI AG 2021-08-01
Series:Algorithms
Subjects:
dynamic portfolio selection
mean-variance model
strategy constraint
continuous-time
Online Access:https://www.mdpi.com/1999-4893/14/8/252

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