Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
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DOI：
10.1016/j.jmaa.2010.01.044
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发表时间：
2008-06
期刊：
影响因子：
--
通讯作者：
Shaolin Ji
中科院分区：
文献类型：
--
作者：
Shaolin Ji
利用对偶方法研究了具有非线性财富方程和破产禁止的连续时间均值-方差投资组合模型。通过终端扰动技术得到了最优终端财富满足的一个充要条件。最优财富和最优投资组合是一个带约束的正倒向随机微分方程的解。
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.