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Firstly, we apply Lagrange duality theorem to change an original mean-variance problem into an equivalent optimization one. Secondly, we use dynamic programming principle to get the Hamilton-Jacobi-Bellman (HJB) equation for the value function, which is a more sophisticated nonlinear second-order partial differential equation. Furthermore, we use Legendre transform and dual theory to transform the HJB equation into its dual one. 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