Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
Portfolio Management
2008-12-02 v1 Probability
Abstract
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.
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Cite
@article{arxiv.0806.4834,
title = {Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations},
author = {Shaolin Ji},
journal= {arXiv preprint arXiv:0806.4834},
year = {2008}
}
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18 pages