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Dynamic mean-variance portfolio selection with no-shorting constraints. (English) Zbl 1027.91040
This paper studies the mean-variance portfolio problem of choosing a self-financing strategy that minimizes the variance of final wealth for a given expected final wealth, and with the additional constraint that no short-selling is allowed in the risky assets. This problem is solved by means of stochastic linear-quadratic control methods in the context of a multidimensional Itô process model with deterministic coefficients. The authors construct a function from the solutions of two Riccati equations and show that this is a viscosity solution for the HJB equation associated to the original problem. The efficient frontier and the corresponding strategies can then be given explicitly, and an example illustrates the results.

MSC:
91B28Finance etc. (MSC2000)
93E20Optimal stochastic control (systems)