Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

By Xun Li, Xun Yu Zhou, Andrew E. B. Lim. SIAM Journal of Control and Optimization, 2001

327 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/0ecf60f00325c1bd5599d65f6b33c102026776ce

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Citations in the corpus

A Hamilton-Jacobi-Bellman approach to optimal trade execution (2011, methodology): “The mean variance objective 54 function can be converted to linear-quadratic (LQ) objective function using a Lagrange multiplier method 55 [24, 10, 34, 4, 20].”
Hedging of Defaultable Claims (2004, background): “Their approach was subsequently developed in various directions by, among others, Li et al. (2001) , Lim and Zhou (2002), Zhou and Yin (2002), and Bielecki et al. (2004b).”
CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005, background): “Lim and Zhou (2002) allowed for stocks that are modeled by processes having random drift and diffusion coefficients, Zhou and Yin (2003) featured assets in a regime switching market, and Li, Zhou, and Lim (2001) introduced a constraint on short selling.”
BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM (2012, background): “The past 8 years have witnessed numerous extensions of the mean-variance portfolio selection theory, see for examples, Li, Zhou, and Lim (2001), Lim and Zhou (2002), Zhou and Yin (2003), Hu and Zhou (2005), Bielecki et al. (2005), Li and Zhou (2006), Chiu and Li (2006), Xiong and Zhou (2007) in…”
Paris-Princeton Lectures on Mathematical Finance 2002 (2003, background): “Their approach was subsequently developed in various directions by, among others, Li et al. (2001) , Lim and Zhou (2002), Zhou and Yin (2002), and Bielecki et al. (2004b).”
Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation (2010, unknown): “This problem has been widely studied (Merton, 1971; Zhou and Li, 2000; Li and Ng, 2000; Li et al., 2002; Bielecki et al., 2005; Li and Zhou, 2006).”
Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure (2014, unknown): “Constrained dynamic mean-variance portfolio selection problems with various constraints have been attracting increasing attention in the last decade, e.g., Li et al (2002), Zhu et al. (2004), Bielecki et al (2005), Sun and Wang (2006), Labbé and Heunis (2007) and Czichowsky and Schweizer (2010).”
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003, methodology): “For example, a portfolio selection problem with random coefficients was solved in [16] using LQ theory and backward SDEs, a problem with short sell prohibition was studied in [15] via LQ and viscosity solution theories, and a mean-variance hedging problem was treated in [12] within the LQ framework.”
Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, methodology): “…was solved in Lim & Zhou (2002) using LQ theory and back stochastic differential equations, a problem with short sell prohibition was studied in Li et al. (2002) via LQ and viscosity theories, and a mean-variance hedging problem was treated in Kohlmann & Zhou (2000) within the LQ framework.”