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Optimal Portfolios in an Incomplete Market

Author

Listed:
  • Jiongmin Yong

    (Laboratory of Mathematics for Nonlinear Sciences, Department of Mathematics, and Institute of Mathematical Finance, Fudan University)

Abstract

Self-financing optimal investment problem is considered in an incomplete market. The general existence of optimal portfolios is discussed via variational method of stochastic optimal control and the theory of (forward-) backward stochastic differential equations.

Suggested Citation

  • Jiongmin Yong, 2000. "Optimal Portfolios in an Incomplete Market," Annals of Economics and Finance, Society for AEF, vol. 1(2), pages 359-381, November.
  • Handle: RePEc:cuf:journl:y:2000:v:1:i:2:p:359-381
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    More about this item

    Keywords

    Optimal portfolio; Stochastic control; Backward stochastic; differential equations;

    JEL classification:

    • G0 - Financial Economics - - General
    • G1 - Financial Economics - - General Financial Markets

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