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Constrained monotone mean-variance problem with random coefficients
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients.
Continuous-time Markowitz's mean-variance model under different borrowing and saving rates
We study Markowitz's mean-variance portfolio selection problem in a continuous-time Black-Scholes market with different borrowing and saving rates.
Mean-variance portfolio selection with nonlinear wealth dynamics and random coefficients
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics.
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