Abstract:In this paper, the objective is to study the continuous mean–variance portfolio selection with a no-short-selling constraint and obtain a time-consistent solution. We assume that there is a self-financing portfolio with wealth process [Formula: see text], in which [Formula: see text] represents the fraction of wealth invested in the risk asset under the short selling prohibition. We investigate the mean–variance optimal constrained problem defined by obtaining the supremum over all admissible controls of the d… Show more
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