Dynamic mean-variance portfolio selection with borrowing constraint

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.

MoreLess

Year of publication:	2010
Authors:	Fu, Chenpeng ; Lari-Lavassani, Ali ; Li, Xun
Published in:	European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 200.2010, 1, p. 312-319
Publisher:	Elsevier
Keywords:	Continuous-time finance Optimal portfolio Mean-variance portfolio selection Borrowing rate Efficient frontier Stochastic PLQ control HJB equation

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023348