A closed-form solution to a dynamic portfolio optimization problem

Zhong Fei Li*, Kai W. Ng, Ken Seng Tan, Hailiang Yang

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)


In this paper we consider a continuous-time Markowitz mean-variance type portfolio optimization problem where the variance is replaced by a Earnings-at-Risk (EaR) of terminal wealth. In a Black-Scholes setting of financial markets, we obtain closed-form expressions for best constant-rebalanced portfolio investment strategies and the mean-EaR efficient frontier.

Original languageEnglish
Pages (from-to)517-526
Number of pages10
JournalDynamics of Continuous, Discrete and Impulsive Systems Series B: Applications and Algorithms
Issue number4
Publication statusPublished - Aug 2005
Externally publishedYes


  • Black-scholes model
  • Constant-rebalanced portfolios
  • Dynamic portfolio selection
  • Earnings-at-Risk


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