Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/66513
| 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 |
| Appears in Collections: | Journal/Magazine Article |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Li_Continuous-Time_Markowitzs_Model.pdf | Pre-Published version | 916.73 kB | Adobe PDF | View/Open |
Access
View full-text via PolyU eLinks 
Page views
137
Last Week
0
0
Last month
Citations as of Sep 24, 2023
Downloads
17
Citations as of Sep 24, 2023
SCOPUSTM
Citations
8
Last Week
0
0
Last month
Citations as of Sep 28, 2023
WEB OF SCIENCETM
Citations
8
Last Week
0
0
Last month
Citations as of Sep 28, 2023
Google ScholarTM
Check
Altmetric
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.