The aim of this article is to analyze the portfolio strategies that are mean-variance efficient when continuous rebalancing is allowed and a solvency constraint (wealth positiveness) is imposed at each point in time. Under very general assumptions (Ito processes for the security price dynamics) those efficient strategies are identified as synthetic put options on the particular inefficient portfolio yielding the return with minimal second moment. This general characterization allows us to derive a closed-form formula for the optimal portfolio weights when the investment opportunity set is constant (the optimal weights are explicit functions of the current market index). The formula is then used to simulate dynamically efficient strategies for different horizons and targets, and to describe the time pattern of the allocation to stocks versus bonds.