Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
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Publication:2407233
Abstract: This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We invoke the HJB equation of this problem and give an explicit viscosity solution of the HJB equation. Furthermore, via this explicit viscosity solution, we obtain explicitly the efficient portfolio strategy and efficient frontier for this problem. Finally, we show that our nonlinear wealth equation can cover three important cases.
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Cited in
(7)- Portfolio selection problem with nonlinear wealth equations under non-extensive statistical mechanics for time-varying SDE
- Dual method for continuous-time Markowitz's problems with nonlinear wealth equations
- Explicit efficient frontier of a continuous-time mean-variance portfolio selection problem
- A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging
- Numerical solution of continuous-time mean–variance portfolio selection with nonlinear constraints
- Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
- Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection
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