Constrained monotone mean-variance problem with random coefficients
Mathematical Finance
2023-08-25 v3 Optimization and Control
Abstract
This paper studies the monotone mean-variance (MMV) problem and the classical mean-variance (MV) problem with convex cone trading constraints in a market with random coefficients. We provide semiclosed optimal strategies and optimal values for both problems via certain backward stochastic differential equations (BSDEs). After noting the links between these BSDEs, we find that the two problems share the same optimal portfolio and optimal value. This generalizes the result of Shen and Zou SIAM J. Financial Math., 13 (2022), pp. SC99-SC112 from deterministic coefficients to random ones.
Cite
@article{arxiv.2212.14188,
title = {Constrained monotone mean-variance problem with random coefficients},
author = {Ying Hu and Xiaomin Shi and Zuo Quan Xu},
journal= {arXiv preprint arXiv:2212.14188},
year = {2023}
}