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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Bibliographic Details
Main Authors: Hao Chang, Xi-min Rong
Format: Article
Language:English
Published: Wiley 2013-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/2013/348059
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