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
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;
Conference_Titel :
Decision and Control, 2003. Proceedings. 42nd IEEE Conference on
Print_ISBN :
0-7803-7924-1
DOI :
10.1109/CDC.2003.1271961
