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

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  • Shaolin Ji

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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  • Shaolin Ji, 2008. "Dual method for continuous-time Markowitz's Problems with nonlinear wealth equations," Papers 0806.4834, arXiv.org.
    • Handle: RePEc:arx:papers:0806.4834
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