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Continuous-time mean-variance portfolio selection with bankruptcy prohibition

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 trading strategy under consideration is defined in terms of the dollar amounts, rather than the proportions of wealth, allocated in individual stocks. The problem is completely solved using a decomposition approach. Specifically, a (constrained) variance minimizing probl...

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Journal:
Mathematical Finance
Volume:
15
Issue:
2
Pages:
213-244
Publication date:
2005-04-01
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
Source identifiers:
147763
Language:
English
Keywords:
Pubs id:
pubs:147763
UUID:
uuid:c41e56dd-5658-485a-83db-044c5e2a30b1
Local pid:
pubs:147763
Deposit date:
2013-11-16

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