Mean-variance portfolio choice: Quadratic partial hedging

In this paper we investigate the problem of mean-variance portfolio choice with bankruptcy prohibition. For incomplete markets with continuous assets' price processes and for complete markets, it is shown that the mean-variance efficient portfolios can be expressed as the optimal strategies of partial hedging for quadratic loss function. Thus, mean-variance portfolio choice, in these cases, can be viewed as expected utility maximization with non-negative marginal utility.