English (United Kingdom)

https://curated-unify.zendy.io/wp-json/zendy-region/v1/featured_content/oa?rat=en

https://curated-unify.zendy.io/wp-json/zendy-region/v1/highlighted_journal/

Global: Zendy Plus annual

Presents the access of premium content as premium feature

Premium Content

Presents the keyphrase highlighting as premium feature

Keyphrase Highlighting

Presents the summarisation as premium feature

Summarisation

Insights

Presents the pdf analysis as premium feature

PDF Analysis

Presents the zaia usage as premium feature

ZAIA

Global: Zendy Plus monthly

Global: Zendy Tools annual

Global: Zendy Tools monthly

Global: Zendy Free Plan

We consider continuous-time mean-variance portfolio selection with bankruptcyprohibition under convex cone portfolio constraints. This is a long-standingand difficult problem not only because of its theoretical significance, butalso for its practical importance. First of all, we transform the above probleminto an equivalent mean-variance problem with bankruptcy prohibition withoutportfolio constraints. The latter is then treated using martingale theory. Ourfindings indicate that we can directly present the semi-analytical expressionsof the pre-committed efficient mean-variance policy without a viscositysolution technique but within a general framework of the cone portfolioconstraints. The numerical simulation also sheds light on results establishedin this paper.

Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio