The mean-variance investment problem in a constrained financial market
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Mathematical Economics.
Volume (Year): 42 (2006)
Issue (Month): 7-8 (November)
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Web page: http://www.elsevier.com/locate/jmateco
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- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, American Finance Association, vol. 7(1), pages 77-91, 03.
- Schweizer, Martin, 2001. "From actuarial to financial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 31-47, February.
- Nguyen, Pascal & Portait, Roland, 2002. "Dynamic asset allocation with mean variance preferences and a solvency constraint," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 26(1), pages 11-32, January.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, Econometric Society, vol. 41(5), pages 867-87, September.
- Cui, Xiangyu & Gao, Jianjun & Li, Xun & Li, Duan, 2014. "Optimal multi-period mean–variance policy under no-shorting constraint," European Journal of Operational Research, Elsevier, Elsevier, vol. 234(2), pages 459-468.
- Xiangyu Cui & Duan Li & Xun Li, 2014. "Mean-Variance Policy for Discrete-time Cone Constrained Markets: The Consistency in Efficiency and Minimum-Variance Signed Supermartingale Measure," Papers 1403.0718, arXiv.org.
- Thomas J. Brennan & Andrew W. Lo, 2010.
Management Science, INFORMS,
INFORMS, vol. 56(6), pages 905-923, June.
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