Continuous-time mean-variance portfolio choice with no-bankruptcy constraint.
Tomasz R. BieleckiStanley R. PliskaHanqing JinXun Yu ZhouPublished in: CDC (2003)
Keyphrases
- portfolio selection
- portfolio optimization
- efficient frontier
- portfolio management
- optimal control
- bankruptcy prediction
- quasi linear
- dynamical systems
- markov processes
- asset allocation
- credit risk
- multiple criteria
- financial data
- linear constraints
- chance discovery
- transaction costs
- problems involving
- markov chain
- investment strategies
- state space
- search space
- iterative learning control
- decision making
- data sets