Dual method for continuous-time Markowitz’s Problems with nonlinear wealth equations

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… (More)

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@inproceedings{Ji2008DualMF, title={Dual method for continuous-time Markowitz’s Problems with nonlinear wealth equations}, author={Shaolin Ji}, year={2008} }