Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
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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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Cited in
(13)- CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- Ruin problems and myopic portfolio optimization in continuous trading
- An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
- The optimal portfolio selection model under \(g\)-expectation
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints
- Wealth optimization and dual problems for jump stock dynamics with stochastic factor
- Mean-variance hedging with basis risk
- The perturbation method applied to a robust optimization problem with constraint
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
- Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE
- The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps
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