SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Dynamic mean–variance portfolio selection with borrowing constraint · Study

ArticleShelves

ArticleDynamic mean–variance portfolio selection with borrowing constraint

Chenpeng Fu2009

Article2009

Dynamic mean–variance portfolio selection with borrowing constraint

Chenpeng Fu · Ali Lari-Lavassani · Xun Li

111 citations·0/0 files stored·European Journal of Operational Research

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Risk and Portfolio Optimization Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 111 citations exist upstream.

References

2012The Econometrics of Financial Markets 1997The Econometrics of Financial Markets 1952Portfolio Selection 1958Liquidity Preference as Behavior Towards Risk 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 1999Stochastic controls : Hamiltonian systems and HJB equations 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process

Cited by

2014A multi-period fuzzy portfolio optimization model with minimum transaction lots 2013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps 2016Fuzzy multi-period portfolio selection with different investment horizons 2011An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment 2014Indefinite Mean-Field Stochastic Linear-Quadratic Optimal Control

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraintsarticle · 16 shared references 2002Mean-Variance Portfolio Selection with Random Parameters in a Complete Marketarticle · 11 shared references 2004Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limitsarticle · 10 shared references 2017Portfolio selection problems with Markowitz’s mean–variance framework: a review of literaturearticle · 9 shared references 1998Who Should Buy Long-Term Bonds?chapter · 9 shared references 2002Myopic Portfolio Choicechapter · 9 shared references

Details

Year2009

Typearticle

Published2009-01-11

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations111

Files0 public / 0

ShelfRisk and Portfolio Optimization

Identifiers

doi10.1016/j.ejor.2009.01.005

openalex_workW2065030872

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2010

Continuous-Time Markowitz's Model with Transaction Costs

2010A Hamilton–Jacobi–Bellman approach to optimal trade execution

2016Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation