This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. When the asset holding can be explicitly become available, one can have a better...

This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. When the asset holding can be explicitly become available, one can have a better...

This paper examines the issue of the generation of optimal control policies where there are explicit constraints upon the control values and there is limited knowledge of the complex economic system. The paper develops a methodology where the constrained optimal control is based upon a separate...