Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/66513
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dc.contributorDepartment of Applied Mathematicsen_US
dc.creatorLi, Xen_US
dc.creatorXu, ZQen_US
dc.date.accessioned2017-05-22T02:26:17Z-
dc.date.available2017-05-22T02:26:17Z-
dc.identifier.issn0167-6377en_US
dc.identifier.urihttp://hdl.handle.net/10397/66513-
dc.language.isoenen_US
dc.publisherElsevieren_US
dc.rights© 2016 Elsevier B.V. All rights reserved.en_US
dc.rights© 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/en_US
dc.rightsThe 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.2016.09.004en_US
dc.subjectMarkowitz's mean-variance modelen_US
dc.subjectBankruptcy prohibitionen_US
dc.subjectConvex cone constraintsen_US
dc.subjectEfficient frontieren_US
dc.subjectStochastic LQ controlen_US
dc.subjectHJB equationen_US
dc.titleContinuous-time Markowitz's model with constraints on wealth and portfolioen_US
dc.typeJournal/Magazine Articleen_US
dc.identifier.spage729en_US
dc.identifier.epage736en_US
dc.identifier.volume44en_US
dc.identifier.issue6en_US
dc.identifier.doi10.1016/j.orl.2016.09.004en_US
dcterms.abstractWe 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.en_US
dcterms.accessRightsopen accessen_US
dcterms.bibliographicCitationOperations research letters, Nov. 2016, v. 44, no. 6, p. 729-736en_US
dcterms.isPartOfOperations research lettersen_US
dcterms.issued2016-11-
dc.identifier.isiWOS:000389167500007-
dc.identifier.ros2016000216-
dc.identifier.eissn1872-7468en_US
dc.identifier.rosgroupid2016000215-
dc.description.ros2016-2017 > Academic research: refereed > Publication in refereed journalen_US
dc.description.validate201804_a bcmaen_US
dc.description.oaAccepted Manuscripten_US
dc.identifier.FolderNumberAMA-0539-
dc.description.fundingSourceRGCen_US
dc.description.fundingSourceOthersen_US
dc.description.fundingTextNSFCen_US
dc.description.pubStatusPublisheden_US
dc.identifier.OPUS6681254-
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