Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
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DOI：
10.1016/j.spa.2007.07.005
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发表时间：
2008-06
影响因子：
1.4
通讯作者：
Shaolin Ji;S. Peng
中科院分区：
文献类型：
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作者：
Shaolin Ji;S. Peng
引入终端摄动方法，研究了完全市场模型中具有破产禁止的连续时间均值-方差投资组合的反向方法。利用Ekeland变分原理，我们得到了最优终端财富满足的一个必要条件，即随机极大值原理。该方法可以处理具有破产禁止的非线性财富方程，并给出了几个例子说明我们的结果的应用。
A terminal perturbation method is introduced to study the backward approach to continuous time mean–variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland’s variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle, which the optimal terminal wealth satisfies. This method can deal with nonlinear wealth equation with bankruptcy prohibition and several examples are given to show applications of our results.