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- W3124671617 abstract "We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for its practical importance. First of all, we transform the above problem into an equivalent mean-variance problem with bankruptcy prohibition without portfolio constraints. The latter is then treated using martingale theory. Our findings indicate that we can directly present the semi-analytical expressions of the pre-committed efficient mean-variance policy without a viscosity solution technique but within a general framework of the cone portfolio constraints. The numerical simulation also sheds light on results established in this paper." @default.
- W3124671617 created "2021-02-01" @default.
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- W3124671617 date "2015-07-01" @default.
- W3124671617 modified "2023-09-23" @default.
- W3124671617 title "Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio" @default.
- W3124671617 hasPublicationYear "2015" @default.
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