Continuous-time mean-variance portfolio selection with bankruptcy prohibition

Continuous-time mean-variance portfolio selection with bankruptcy prohibition

A continuous-time mean-variance portfolio selection problem is studied where all the market coefficients are random and the wealth process under any admissible trading strategy is not allowed to be below zero at any time. The trading strategy under consideration is defined in terms of the dollar amo...

Cur síos iomlán

Sonraí bibleagrafaíochta
Príomhchruthaitheoirí:	Bielecki, T, Jin, H, Pliska, SR, Zhou, X
Formáid:	Journal article
Teanga:	English
Foilsithe / Cruthaithe:	2005

Míreanna comhchosúla

Continuous Time Mean-Variance Portfolio Selection Problem
de réir: Li, K
Foilsithe / Cruthaithe: (2008)

Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time
de réir: Weiping Wu, et al.
Foilsithe / Cruthaithe: (2021-08-01)

Markowitz's mean-variance portfolio selection with regime switching: A continuous-time model
de réir: Zhou, X, et al.
Foilsithe / Cruthaithe: (2003)

Continuous-Time Mean-Variance Portfolio Selection under the CEV Process
de réir: Hui-qiang Ma
Foilsithe / Cruthaithe: (2014-01-01)

Continuous-time mean-risk portfolio selection
de réir: Jin, H, et al.
Foilsithe / Cruthaithe: (2005)

Behavioral mean-variance portfolio selection
de réir: Bi, J, et al.
Foilsithe / Cruthaithe: (2018)

Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
de réir: Yin, G, et al.
Foilsithe / Cruthaithe: (2004)

Mean-risk portfolio selection models in continuous time
de réir: Jin, H, et al.
Foilsithe / Cruthaithe: (2004)

Mean-variance portfolio selection under partial information
de réir: Xiong, J, et al.
Foilsithe / Cruthaithe: (2007)

Mean-Variance Portfolio Selection with Margin Requirements
de réir: Yuan Zhou, et al.
Foilsithe / Cruthaithe: (2013-01-01)

Dynamic Mean–Variance Portfolio Optimization with Value-at-Risk Constraint in Continuous Time
de réir: Tongyao Wang, et al.
Foilsithe / Cruthaithe: (2024-07-01)

Continuous-time behavioral portfolio selection
de réir: Jin, H, et al.
Foilsithe / Cruthaithe: (2008)

Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedy
de réir: Chiu, Mei Choi, et al.
Foilsithe / Cruthaithe: (2019)

Behavioral portfolio selection in continuous time
de réir: Jin, H, et al.
Foilsithe / Cruthaithe: (2008)

Time-consistent mean-variance portfolio selection with only risky assets
de réir: Pun, Chi Seng
Foilsithe / Cruthaithe: (2018)

Tail mean-variance portfolio selection with estimation risk
de réir: Huang, Zhenzhen, et al.
Foilsithe / Cruthaithe: (2024)

Mean-Variance Portfolio Selection with Tracking Error Penalization
de réir: William Lefebvre, et al.
Foilsithe / Cruthaithe: (2020-11-01)

Continuous-time mean-variance efficiency: The 80% rule
de réir: Li, X, et al.
Foilsithe / Cruthaithe: (2006)

Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
de réir: Huiling Wu
Foilsithe / Cruthaithe: (2013-01-01)

Optimal mean-variance portfolio selection with mean-field reinforcement learning
de réir: Cheng, Zhengxing
Foilsithe / Cruthaithe: (2023)

Optimal Portfolio Selection of Mean-Variance Utility with Stochastic Interest Rate
de réir: Shuang Li, et al.
Foilsithe / Cruthaithe: (2020-01-01)

Robustness in Mean-Variance Portfolio Optimization
de réir: Shokouh Shahbeyk
Foilsithe / Cruthaithe: (2022-12-01)

Mean-Variance Efficiency of the Market Portfolio
de réir: Rafael Falcão Noda, et al.
Foilsithe / Cruthaithe: (2014-06-01)

Time-Inconsistency: Performance of the Local Mean-Variance Optimal Portfolio
de réir: Han, W
Foilsithe / Cruthaithe: (2009)

Credibilistic variance and skewness of trapezoidal fuzzy variable and mean–variance–skewness model for portfolio selection
de réir: Jagdish Kumar Pahade, et al.
Foilsithe / Cruthaithe: (2021-08-01)

A Mean-Variance Hybrid-Entropy Model for Portfolio Selection with Fuzzy Returns
de réir: Rongxi Zhou, et al.
Foilsithe / Cruthaithe: (2015-05-01)

High-Dimensional Distributionally Robust Mean-Variance Efficient Portfolio Selection
de réir: Zhonghui Zhang, et al.
Foilsithe / Cruthaithe: (2023-03-01)

Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
de réir: Rudoy, Melanie Beth
Foilsithe / Cruthaithe: (2009)

Reinsurance Policy under Interest Force and Bankruptcy Prohibition
de réir: Yangmin Zhong, et al.
Foilsithe / Cruthaithe: (2023-04-01)

Mean-variance future hedging for security portfolio
de réir: A K Kerimov
Foilsithe / Cruthaithe: (2014-12-01)

Mean-Variance Portfolio Selection for Defined-Contribution Pension Funds with Stochastic Salary
de réir: Chubing Zhang
Foilsithe / Cruthaithe: (2014-01-01)

Mean-Variance stochastic goal programming for sustainable mutual funds' portfolio selection.
de réir: García-Bernabeu, Ana, et al.
Foilsithe / Cruthaithe: (2015-11-01)

Mean-variance analysis in portfolio chioce and capital markets /
de réir: 272388 Markowitz, Harry M.
Foilsithe / Cruthaithe: (1987)

Comparison of the approaches mean-variance and mean-semivariance to choose an agricultural portfolio
de réir: Albert León-Herrera, et al.
Foilsithe / Cruthaithe: (2015-01-01)

DIFFERENCES BETWEEN MEAN-VARIANCE AND MEAN-CVAR PORTFOLIO OPTIMIZATION MODELS
de réir: Panna Miskolczi
Foilsithe / Cruthaithe: (2016-07-01)

Robust state-dependent mean–variance portfolio selection : a closed-loop approach
de réir: Han, Bingyan, et al.
Foilsithe / Cruthaithe: (2022)

Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning
de réir: Apichat Chaweewanchon, et al.
Foilsithe / Cruthaithe: (2022-08-01)

Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility
de réir: Yumo Zhang
Foilsithe / Cruthaithe: (2021-03-01)

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
de réir: Yeliz Mert Kantar, et al.
Foilsithe / Cruthaithe: (2011-01-01)

Time-Consistent Strategies for the Generalized Multiperiod Mean-Variance Portfolio Optimization Considering Benchmark Orientation
de réir: Helu Xiao, et al.
Foilsithe / Cruthaithe: (2019-08-01)