The aim of this article is to analyse the portfolio strategies that are mean-variance efficient when continuous rebalancing is allowed and a solvency constraint (wealth positiveness) is imposed at each point of time. A closed form formula is obtained and used to simulate dynamically efficient strategies for different horizons and targets, and to describe the time pattern of the allocation to stocks versus bills and bonds.
NGUYEN, P.D. and PORTAIT, R. (2002). Dynamic Asset Allocation with Mean Variance Preferences and a Solvency Constraint. Journal of Economic Dynamics and Control, pp. 11-32.