Dynamic mean-variance portfolio selection with borrowing constraint

被引：77
|
作者：
Fu, Chenpeng [3 ]
Lari-Lavassani, Ali [2 ]
Li, Xun [1 ]
机构：
[1] Hong Kong Polytech Univ, Dept Appl Math, Hong Kong, Hong Kong, Peoples R China
[2] Univ Calgary, Dept Math & Stat, Math & Computat Finance Lab, Calgary, AB T2N 1N4, Canada
[3] Nanyang Technol Univ, Fac Sci, Singapore, Singapore
来源：
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 200卷 / 01期
关键词：
Continuous-time finance; Optimal portfolio; Mean-variance portfolio selection; Borrowing rate; Efficient frontier; Stochastic PLQ control; HJB equation; LINEAR-QUADRATIC REGULATORS; CONTROL WEIGHT COSTS; POLICIES; FRAMEWORK; TIME;
D O I：
10.1016/j.ejor.2009.01.005
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper derives explicit closed form solutions, for the efficient frontier and optimal investment strategy, for the dynamic mean-variance portfolio selection problem under the constraint of a higher borrowing rate. The method used is the Hamilton-Jacobi-Bellman (HJB) equation in a stochastic piecewise linear-quadratic (PLQ) control framework. The results are illustrated on an example. Crown Copyright (C) 2009 Published by Elsevier B.V. All rights reserved.
引用
收藏
页码：312 / 319
页数：8
相关论文
共 50 条
  • [1] Dynamic mean-variance portfolio selection with exogenous liability and borrowing constraint
    Chen, Bin
    Ma, Hui-qiang
    Huang, Nan-jing
    [J]. 2013 32ND CHINESE CONTROL CONFERENCE (CCC), 2013, : 8315 - 8320
  • [2] Dynamic mean-variance portfolio selection with exogenous liability and borrowing constraint
    Chen, Bin
    Ma, Hui-Qiang
    Huang, Nan-Jing
    [J]. Chinese Control Conference, CCC, 2013, : 8315 - 8320
  • [3] ON MEAN-VARIANCE PORTFOLIO SELECTION
    SCHNABEL, JA
    [J]. MANAGERIAL AND DECISION ECONOMICS, 1984, 5 (01) : 3 - 6
  • [4] Dynamic Mean-Variance Model with Borrowing Constraint under the Constant Elasticity of Variance Process
    Chang, Hao
    Rong, Xi-min
    [J]. JOURNAL OF APPLIED MATHEMATICS, 2013,
  • [5] OPTIMAL MEAN-VARIANCE PORTFOLIO SELECTION WITH NO-SHORT-SELLING CONSTRAINT
    Xu, Jingsi
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2020, 23 (08)
  • [6] Optimal mean-variance portfolio selection
    Pedersen, Jesper Lund
    Peskir, Goran
    [J]. MATHEMATICS AND FINANCIAL ECONOMICS, 2017, 11 (02) : 137 - 160
  • [7] Behavioral mean-variance portfolio selection
    Bi, Junna
    Jin, Hanging
    Meng, Qingbin
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 271 (02) : 644 - 663
  • [8] Dynamic mean-variance portfolio optimization with noshorting constraint and correlated returns
    Wei, Chong
    Gao, Jianjun
    [J]. 2015 27TH CHINESE CONTROL AND DECISION CONFERENCE (CCDC), 2015, : 1068 - 1073
  • [9] Optimal mean-variance portfolio selection
    Jesper Lund Pedersen
    Goran Peskir
    [J]. Mathematics and Financial Economics, 2017, 11 : 137 - 160
  • [10] Dynamic mean-variance portfolio selection under factor models
    Shi, Yun
    Kong, Lingjie
    Yang, Lanzhi
    Li, Duan
    Cui, Xiangyu
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2024, 167
12345