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Dual method for continuous-time Markowitz's problems with nonlinear wealth equations |
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| Authors: | Shaolin Ji |
| Institution: | School of Mathematics, Shandong University, Jinan 250100, People's Republic of China |
| 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. |
| Keywords: | Backward stochastic differential equation Stochastic optimal control Stochastic maximum principle Continuous-time mean-variance portfolio selection model |
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