A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging

被引：0
|
作者：
Yoshida, Naohiro [1 ]
机构：
[1] Chuo Univ, Dept Ind & Syst Engn, Bunkyo Ku, 1-13-27 Kasuga, Tokyo 1128551, Japan
来源：
JSIAM LETTERS | 2019年 / 11卷
基金：
日本学术振兴会;
关键词：
mean-variance portfolio selection; continuous-time; mean-variance hedging; continuous semimartingale model; the Lagrange multiplier method;
D O I：
10.14495/jsiaml.11.25
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, an explicit solution to a continuous-time mean-variance portfolio selection problem in a continuous semimartingale model is provided through the Lagrange multiplier method and results of a mean-variance hedging problem. Without reformulation of the problem which is usually employed in the literature, we get a more straightforward method of solution than earlier studies.
引用
收藏
页码：25 / 28
页数：4
相关论文
共 50 条
  • [41] Mean-variance portfolio selection with correlation risk
    Chiu, Mei Choi
    Wong, Hoi Ying
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2014, 263 : 432 - 444
  • [42] PORTFOLIO SELECTION IN THE MEAN-VARIANCE MODEL - A NOTE
    NIELSEN, LT
    JOURNAL OF FINANCE, 1987, 42 (05): : 1371 - 1376
  • [43] Mean-Variance Portfolio Selection with Margin Requirements
    Zhou, Yuan
    Wu, Zhe
    JOURNAL OF MATHEMATICS, 2013, 2013
  • [44] An asymptotic analysis of the mean-variance portfolio selection
    Ottucsak, Gyorgy
    Vajda, Istvan
    STATISTICS & RISK MODELING, 2007, 25 (01) : 63 - 88
  • [45] Reinforcement learning for continuous-time mean-variance portfolio selection in a regime-switching market
    Wu, Bo
    Li, Lingfei
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2024, 158
  • [46] MEAN-VARIANCE PORTFOLIO THEORY
    DEDEK, O
    POLITICKA EKONOMIE, 1992, 40 (04) : 525 - 549
  • [47] Continuous-time mean-variance efficiencythe 80% rule
    Li, Xun
    Zhou, Xun Yu
    ANNALS OF APPLIED PROBABILITY, 2006, 16 (04): : 1751 - 1763
  • [48] Continuous-time mean-variance portfolio selection with value-at-risk and no-shorting constraints
    Yan, Wei
    INTERNATIONAL JOURNAL OF CONTROL, 2012, 85 (01) : 50 - 57
  • [49] Continuous-time mean-variance portfolio optimization in a jump-diffusion market
    Alp O.S.
    Korn R.
    Decisions in Economics and Finance, 2011, 34 (1) : 21 - 40
  • [50] Continuous-time Mean-Variance Portfolio Optimization with Safety-First Principle
    Xiong, Yan
    Gao, Jianjun
    11TH IEEE INTERNATIONAL CONFERENCE ON CONTROL AND AUTOMATION (ICCA), 2014, : 66 - 71
12345