Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time

This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained model into a special LQ optimal control and develop policy of model. In addition, we provide an alternative method to resolve this constraints. More specifically, instead solving correspondent HJB equation directly, solution for by using properties value function induced from its structure, such as monotonicity convexity function. Finally, example illustrate how use real application. The illustrative demonstrates that dominates static policy.