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Markowitz'S Portfolio Optimization In An Incomplete Market

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  • Jianming Xia
  • Jia-An Yan

Abstract

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  • Jianming Xia & Jia-An Yan, 2006. "Markowitz'S Portfolio Optimization In An Incomplete Market," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 203-216.
  • Handle: RePEc:bla:mathfi:v:16:y:2006:i:1:p:203-216
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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.2006.00268.x
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    Citations

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    Cited by:

    1. Yao, Haixiang & Li, Zhongfei & Chen, Shumin, 2014. "Continuous-time mean–variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 36(C), pages 244-251.
    2. Alev{s} v{C}ern'y & Jan Kallsen, 2007. "On the Structure of General Mean-Variance Hedging Strategies," Papers 0708.1715, arXiv.org, revised Jul 2017.
    3. Zeng, Yan & Li, Zhongfei & Lai, Yongzeng, 2013. "Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 498-507.
    4. Bernard, C. & Vanduffel, S., 2014. "Mean–variance optimal portfolios in the presence of a benchmark with applications to fraud detection," European Journal of Operational Research, Elsevier, vol. 234(2), pages 469-480.
    5. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
    6. repec:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z is not listed on IDEAS
    7. Jianming Xia, 2006. "Mean-variance Hedging in the Discontinuous Case," Papers math/0607775, arXiv.org.
    8. Chen, Binbin & Huang, Shih-Feng & Pan, Guangming, 2015. "High dimensional mean–variance optimization through factor analysis," Journal of Multivariate Analysis, Elsevier, vol. 133(C), pages 140-159.
    9. 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.
    10. Guo, Xianping & Ye, Liuer & Yin, George, 2012. "A mean–variance optimization problem for discounted Markov decision processes," European Journal of Operational Research, Elsevier, vol. 220(2), pages 423-429.
    11. Xiangyu Cui & Xun Li & Duan Li, 2013. "Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection," Papers 1303.1064, arXiv.org.

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