SCIENCE CHINA Information Sciences, Volume 63 , Issue 7 : 179202(2020) https://doi.org/10.1007/s11432-018-9531-7

Mean-variance portfolio selection with discontinuous pricesand random horizon in an incomplete market

More info
  • ReceivedMay 5, 2018
  • AcceptedJun 29, 2018
  • PublishedOct 28, 2019


There is no abstract available for this article.


This work was supported by National Natural Science Foundation of China (Grant No. 61573217), 111 Project (Grant No. B12023), National High-Level Personnel of the Special Support Program, the Chang Jiang Scholar Program of the Chinese Education Ministry, and the Distinguished Middle-Aged and Young Scientist Encouragement and Reward Foundation of Shandong Province (Grant No. ZR2017BA033).


Appendix A.


[1] Markowitz H. Portfolio selection. J Finance, 1952, 7: 77--91. Google Scholar

[2] Li D, Ng W L. Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation. Math Finance, 2000, 10: 387-406 CrossRef Google Scholar

[3] Zhou X Y. Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework. Appl Math Optimization, 2000, 42: 19-33 CrossRef Google Scholar

[4] Lim A E B. Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market. Math OR, 2004, 29: 132-161 CrossRef Google Scholar

[5] Lim A E B. Mean-Variance Hedging When There Are Jumps. SIAM J Control Optim, 2005, 44: 1893-1922 CrossRef Google Scholar

[6] Blanchet-Scalliet C, El Karoui N, Jeanblanc M. Optimal investment decisions when time-horizon is uncertain. J Math Economics, 2008, 44: 1100-1113 CrossRef Google Scholar

[7] Yu Z. Continuous-Time Mean-Variance Portfolio Selection with Random Horizon. Appl Math Optim, 2013, 68: 333-359 CrossRef Google Scholar

[8] Lv S, Wu Z, Yu Z. Continuous-time mean-variance portfolio selection with random horizon in an incomplete market. Automatica, 2016, 69: 176-180 CrossRef Google Scholar