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Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
16 references·16 citing·34 second hopsampled
Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfolio Selection…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Optimal Multiperiod Portfolio Policies (1968)Optimal Multiperiod Portfolio…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…Liquidity Preference as Behavior Towards Risk (1958)Liquidity Preference as Behav…Continuous‐time mean–variance portfolio selection: A reinforcement learning framework (2020)Continuous‐time mean–variance…Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature (2017)Portfolio selection problems …Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach (2015)Better than pre-commitment me…Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (2014)Robust optimal strategies for…Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control (2014)Indefinite Mean-Field Stochas…Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint (2012)Optimal Multiperiod Mean-Vari…Fuzzy multi-period portfolio selection optimization models using multiple criteria (2012)Fuzzy multi-period portfolio …Paris-Princeton Lectures on Mathematical Finance 2010 (2010)Paris-Princeton Lectures on M…Continuous time mean variance asset allocation: A time-consistent strategy (2010)Continuous time mean variance…BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2010)BETTER THAN DYNAMIC MEAN‐VARI…Dynamic mean–variance portfolio selection with borrowing constraint (2009)Dynamic mean–variance portfol…Dynamic mean-variance problem with constrained risk control for the insurers (2008)Dynamic mean-variance problem…Optimal investment for an insurer: The martingale approach (2006)Optimal investment for an ins…Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection (2005)Constrained Stochastic LQ Con…Benchmark and mean-variance problems for insurers (2005)Benchmark and mean-variance p…Hedging of Defaultable Claims (2004)Hedging of Defaultable ClaimsThe Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Optimum consumption and portfolio rules in a continuous-time model (1971)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 2012The Econometrics of Financial Markets5,875 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1958Liquidity Preference as Behavior Towards Risk3,916 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1999Stochastic Controls1,243 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited

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  • 1968Optimal Multiperiod Portfolio Policies779 cited
  • Cited by

    • 2005Benchmark and mean-variance problems for insurers175 cited
    • 2010Paris-Princeton Lectures on Mathematical Finance 2010149 cited
    • 2010BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM130 cited
    • 2020Continuous‐time mean–variance portfolio selection: A reinforcement learning framework130 cited
    • 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature130 cited
    • 2008Dynamic mean-variance problem with constrained risk control for the insurers129 cited
    • 2012Optimal Multiperiod Mean-Variance Policy Under No-Shorting Constraint124 cited
    • 2010Continuous time mean variance asset allocation: A time-consistent strategy119 cited
    • 2005Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection111 cited
    • 2009Dynamic mean–variance portfolio selection with borrowing constraint111 cited
    • 2004Hedging of Defaultable Claims105 cited
    • 2006Optimal investment for an insurer: The martingale approach101 cited
    • 2012Fuzzy multi-period portfolio selection optimization models using multiple criteria81 cited
    • 2015Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach80 cited
    • 2014Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria80 cited
    • 2014Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control76 cited