Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
classification
💱 q-fin.PM
math.PR
keywords
wealthcontinuous-timedualequationsmethodnonlinearoptimalportfolio
read the original 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.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.