We present efficient partial differential equation (PDE) methods for continuous time mean-variance portfolio allocation problems when the underlying risky asset follows a jump-diffusion. The standard formulation of mean-variance optimal portfolio allocation problems, where the total wealth is...

We investigate the time-consistent mean-variance (MV) portfolio optimization problem under a realistic context that involves the simultaneous application of different types of investment constraints and modelling assumptions, for which a closed-form solution is not known to exist. We develop an...