Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations
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.
- Publication:
-
arXiv e-prints
- Pub Date:
- June 2008
- DOI:
- 10.48550/arXiv.0806.4834
- arXiv:
- arXiv:0806.4834
- Bibcode:
- 2008arXiv0806.4834J
- Keywords:
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- Quantitative Finance - Portfolio Management;
- Mathematics - Probability;
- 60H30;
- 60H10
- E-Print:
- 18 pages