{"paper":{"title":"Continuous-Time Mean-Variance Portfolio Selection with Constraints on Wealth and Portfolio","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["math.OC"],"primary_cat":"q-fin.PM","authors_text":"Xun Li, Zuo Quan Xu","submitted_at":"2015-07-24T14:17:08Z","abstract_excerpt":"We consider continuous-time mean-variance portfolio selection with bankruptcy prohibition under convex cone portfolio constraints. This is a long-standing and difficult problem not only because of its theoretical significance, but also for its practical importance. First of all, we transform the above problem into an equivalent mean-variance problem with bankruptcy prohibition without portfolio constraints. The latter is then treated using martingale theory. Our findings indicate that we can directly present the semi-analytical expressions of the pre-committed efficient mean-variance policy wi"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1507.06850","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}