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Optimal Portfolios in an Incomplete Market


  • Jiongmin Yong

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


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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    References listed on IDEAS

    1. James R. Markusen, 1995. "The Boundaries of Multinational Enterprises and the Theory of International Trade," Journal of Economic Perspectives, American Economic Association, vol. 9(2), pages 169-189, Spring.
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    More about this item


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

    JEL classification:

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


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