Dual method for continuous-time Markowitz's problems with nonlinear wealth equations

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:366

Article

Ji, Shaolin

关键词: Backward stochastic differential equation;    Stochastic optimal control;    Stochastic maximum principle;    Continuous-time mean-variance portfolio selection model;   

DOI  :  10.1016/j.jmaa.2010.01.044

来源: Elsevier

【 摘 要 】

Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal wealth and portfolio is the Solution of a forward-backward stochastic differential equation with constraints. (C) 2010 Elsevier Inc. All rights reserved.

【 授权许可】

Free