Yao, Haixiang; Li, Zhongfei; Chen, Shumin - In: Economic Modelling 36 (2014) C, pp. 244-251
We investigate in this paper a continuous-time mean–variance portfolio selection problem in a general market setting … derive explicit closed-form expressions for the efficient investment strategy and the mean–variance efficient frontier. We …-free wealth process, the global minimum variance can be zero, and the efficient frontier can be a straight line in the mean …