Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/66513
DC Field | Value | Language |
---|---|---|
dc.contributor | Department of Applied Mathematics | en_US |
dc.creator | Li, X | en_US |
dc.creator | Xu, ZQ | en_US |
dc.date.accessioned | 2017-05-22T02:26:17Z | - |
dc.date.available | 2017-05-22T02:26:17Z | - |
dc.identifier.issn | 0167-6377 | en_US |
dc.identifier.uri | http://hdl.handle.net/10397/66513 | - |
dc.language.iso | en | en_US |
dc.publisher | Elsevier | en_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.rights | 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 | en_US |
dc.subject | Markowitz's mean-variance model | en_US |
dc.subject | Bankruptcy prohibition | en_US |
dc.subject | Convex cone constraints | en_US |
dc.subject | Efficient frontier | en_US |
dc.subject | Stochastic LQ control | en_US |
dc.subject | HJB equation | en_US |
dc.title | Continuous-time Markowitz's model with constraints on wealth and portfolio | en_US |
dc.type | Journal/Magazine Article | en_US |
dc.identifier.spage | 729 | en_US |
dc.identifier.epage | 736 | en_US |
dc.identifier.volume | 44 | en_US |
dc.identifier.issue | 6 | en_US |
dc.identifier.doi | 10.1016/j.orl.2016.09.004 | en_US |
dcterms.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. | en_US |
dcterms.accessRights | open access | en_US |
dcterms.bibliographicCitation | Operations research letters, Nov. 2016, v. 44, no. 6, p. 729-736 | en_US |
dcterms.isPartOf | Operations research letters | en_US |
dcterms.issued | 2016-11 | - |
dc.identifier.isi | WOS:000389167500007 | - |
dc.identifier.ros | 2016000216 | - |
dc.identifier.eissn | 1872-7468 | en_US |
dc.identifier.rosgroupid | 2016000215 | - |
dc.description.ros | 2016-2017 > Academic research: refereed > Publication in refereed journal | en_US |
dc.description.validate | 201804_a bcma | en_US |
dc.description.oa | Accepted Manuscript | en_US |
dc.identifier.FolderNumber | AMA-0539 | - |
dc.description.fundingSource | RGC | en_US |
dc.description.fundingSource | Others | en_US |
dc.description.fundingText | NSFC | en_US |
dc.description.pubStatus | Published | en_US |
dc.identifier.OPUS | 6681254 | - |
Appears in Collections: | Journal/Magazine Article |
Files in This Item:
File | Description | Size | Format | |
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Li_Continuous-Time_Markowitzs_Model.pdf | Pre-Published version | 916.73 kB | Adobe PDF | View/Open |
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