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Title: Continuous-time Markowitz's model with constraints on wealth and portfolio
Authors: Li, X 
Xu, ZQ 
Issue Date: Nov-2016
Source: Operations research letters, Nov. 2016, v. 44, no. 6, p. 729-736
Abstract: We consider a continuous-time Markowitz's model with bankruptcy prohibition and convex cone portfolio constraints. We first transform the problem into an equivalent one with bankruptcy prohibition but without portfolio constraints. The latter is then treated by martingale theory. This approach allows one to directly present the semi-analytical expressions of the pre-committed efficient policy without using the viscosity solution technique but within the framework of cone portfolio constraints. The numerical simulation also sheds light on results established in this paper.
Keywords: Markowitz's mean-variance model
Bankruptcy prohibition
Convex cone constraints
Efficient frontier
Stochastic LQ control
HJB equation
Publisher: Elsevier
Journal: Operations research letters 
ISSN: 0167-6377
EISSN: 1872-7468
DOI: 10.1016/j.orl.2016.09.004
Rights: © 2016 Elsevier B.V. All rights reserved.
© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
The following publication Li, X., & Xu, Z. Q. (2016). Continuous-time Markowitz’s model with constraints on wealth and portfolio. Operations Research Letters, 44(6), 729-736 is available at https://doi.org/10.1016/j.orl.2016.09.004
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