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Continuous-time portfolio optimization under terminal wealth constraints

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References

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1991Mean-Variance Hedging in Continuous Time383 cited
1989Optimization Problems in the Theory of Continuous Trading284 cited
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Cited by

2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
2013Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection44 cited
2007Implications of the Sharpe ratio as a performance measure in multi-period settings37 cited
2009Asset-Liability Management Under the Safety-First Principle34 cited
2005Optimal portfolios with a positive lower bound on final wealth29 cited
2013Cone-constrained continuous-time Markowitz problems25 cited
2014Complete markets do not allow free cash flow streams20 cited
1999

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Optimal control of option portfolios and applications

18 cited

1997Some applications of L2-hedging with a non-negative wealth process16 cited

2015Less is more: Increasing retirement gains by using an upside terminal wealth constraint16 cited

2013Deterministic mean-variance-optimal consumption and investment15 cited