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Continuous time mean-variance portfolio selection with nonlinear wealth equations and random coefficients. (arXiv:1705.06141v1 [q-fin.MF])
来源于:arXiv
This paper concerns the continuous time mean-variance portfolio selection
problem with a special nonlinear wealth equation. This nonlinear wealth
equation has nonsmooth random coefficients and the dual method developed in [7]
does not work. To apply the completion of squares technique, we introduce two
Riccati equations to cope with the positive and negative part of the wealth
process separately. We obtain the efficient portfolio strategy and efficient
frontier for this problem. Finally, we find the appropriate sub-derivative
claimed in [7] using convex duality method. 查看全文>>