DocumentCode
2614654
Title
Continuous-time mean-variance portfolio choice with no-bankruptcy constraint
Author
Bieleckik, Tomasz R. ; Pliska, Stanley R. ; Jin, Haiiqing ; Zhou, Xun Yu
Author_Institution
Dept. of Math., Northeastern Illinois Univ., USA
Volume
6
fYear
2003
fDate
9-12 Dec. 2003
Firstpage
5945
Abstract
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 problem is completely solved using a decomposition approach.
Keywords
continuous time systems; investment; stock markets; admissible trading strategy; continuous-time mean-variance portfolio selection; decomposition approach; market coefficients; no-bankruptcy constraint; wealth process; Control systems; Finance; Financial management; Investments; Mathematics; Optimal control; Portfolios; Security; Stochastic processes; Watches;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
ISSN
0191-2216
Print_ISBN
0-7803-7924-1
Type
conf
DOI
10.1109/CDC.2003.1271961
Filename
1271961
Link To Document