Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
480878 | European Journal of Operational Research | 2010 | 8 Pages |
Abstract
This paper derives explicit closed form solutions, for the efficient frontier and optimal investment strategy, for the dynamic mean–variance portfolio selection problem under the constraint of a higher borrowing rate. The method used is the Hamilton–Jacobi–Bellman (HJB) equation in a stochastic piecewise linear-quadratic (PLQ) control framework. The results are illustrated on an example.
Related Topics
Physical Sciences and Engineering
Computer Science
Computer Science (General)
Authors
Chenpeng Fu, Ali Lari-Lavassani, Xun Li,