Dynamic Mean-Variance Model with Borrowing Constraint under the Constant Elasticity of Variance Process
This paper studies a continuous-time dynamic mean-variance portfolio selection problem with the constraint of a higher borrowing rate, in which stock price is governed by a constant elasticity of variance (CEV) process. Firstly, we apply Lagrange duality theorem to change an original mean-variance p...
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Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
Wiley
2013-01-01
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Series: | Journal of Applied Mathematics |
Online Access: | http://dx.doi.org/10.1155/2013/348059 |
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