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The mean-variance investment problem in a constrained financial market

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  • Sun, Wan Gui
  • Wang, Chun Feng

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  • Sun, Wan Gui & Wang, Chun Feng, 2006. "The mean-variance investment problem in a constrained financial market," Journal of Mathematical Economics, Elsevier, vol. 42(7-8), pages 885-895, November.
  • Handle: RePEc:eee:mateco:v:42:y:2006:i:7-8:p:885-895
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    References listed on IDEAS

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    1. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    2. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    3. Leonard MacLean & Yonggan Zhao & William Ziemba, 2011. "Mean-variance versus expected utility in dynamic investment analysis," Computational Management Science, Springer, vol. 8(1), pages 3-22, April.
    4. Nguyen, Pascal & Portait, Roland, 2002. "Dynamic asset allocation with mean variance preferences and a solvency constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 11-32, January.
    5. Schweizer, Martin, 2001. "From actuarial to financial valuation principles," Insurance: Mathematics and Economics, Elsevier, vol. 28(1), pages 31-47, February.
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    Cited by:

    1. 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, vol. 234(2), pages 459-468.
    2. 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.
    3. Xun Li & Zuo Quan Xu, 2015. "Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio," Papers 1507.06850, arXiv.org.
    4. repec:spr:mathme:v:85:y:2017:i:3:d:10.1007_s00186-017-0572-6 is not listed on IDEAS
    5. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.

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