arXiv Open Access 2016

Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations

Shaolin Ji Xiaomin Shi

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Abstrak

This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We invoke the HJB equation of this problem and give an explicit viscosity solution of the HJB equation. Furthermore, via this explicit viscosity solution, we obtain explicitly the efficient portfolio strategy and efficient frontier for this problem. Finally, we show that our nonlinear wealth equation can cover three important cases.

Topik & Kata Kunci

q-fin.MF math.OC math.PR q-fin.PM

Penulis (2)

Shaolin Ji

Xiaomin Shi

Format Sitasi

APA MLA BibTeX

Ji, S., Shi, X. (2016). Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations. https://arxiv.org/abs/1606.05488

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Informasi Jurnal

Tahun Terbit: 2016
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓