Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations

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dc.creatorJi, Shaolin
dc.date2008-06-30
dc.date.accessioned2026-07-07T12:05:52Z
dc.date.available2026-07-07T12:05:52Z
dc.descriptionContinuous-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.
dc.description18 pages
dc.identifierhttps://arxiv.org/abs/0806.4834
dc.identifierhttp://arxiv.org/abs/0806.4834
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208496
dc.subjectPortfolio Management
dc.subjectProbability
dc.subject60H30; 60H10
dc.titleDual method for continuous-time Markowitz's Problems with nonlinear wealth equations
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