Viscosity Solution of Mean-Variance Portfolio Selection of a Jump Markov Process with No-Shorting Constraints
We consider the so-called mean-variance portfolio selection problem in continuous time under the constraint that the short-selling of stocks is prohibited where all the market coefficients are random processes. In this situation the Hamilton-Jacobi-Bellman (HJB) equation of the value function of the...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2016-01-01
|
| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2016/4543298 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|