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Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints

文献类型：期刊论文

作者Yan, Wei1; Li, Shurong2
刊名INTERNATIONAL JOURNAL OF CONTROL
出版日期2010-03-01
卷号83期号:3页码:642-650
关键词mean-variance criterion HJB equation numerical method Poisson process
ISSN号0020-7179
DOI10.1080/00207170903367284
英文摘要An investment problem is considered with dynamic mean-variance (M-V) portfolio criterion under discontinuous prices described by jump-diffusion processes. Some investment strategies are restricted in the study. This M-V portfolio with restrictions can lead to a stochastic optimal control model. The corresponding stochastic Hamilton-Jacobi-Bellman equation of the problem with linear and nonlinear constraints is derived. Numerical algorithms are presented for finding the optimal solution in this article. Finally, a computational experiment is to illustrate the proposed methods by comparing with M-V portfolio problem which does not have any constraints.
WOS研究方向Automation & Control Systems
语种英语
WOS记录号WOS:000275119900016
出版者TAYLOR & FRANCIS LTD
源URL[http://ir.amss.ac.cn/handle/2S8OKBNM/10484]  
专题中国科学院数学与系统科学研究院
通讯作者Yan, Wei
作者单位1.Chinese Acad Sci, Key Lab Math Mechanizat, Beijing 100190, Peoples R China
2.China Univ Petr, Coll Informat & Control Engn, Dongying 257061, Shandong, Peoples R China
推荐引用方式
GB/T 7714		 Yan, Wei,Li, Shurong. Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints[J]. INTERNATIONAL JOURNAL OF CONTROL,2010,83(3):642-650.
APA Yan, Wei,&Li, Shurong.(2010).Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints.INTERNATIONAL JOURNAL OF CONTROL,83(3),642-650.
MLA Yan, Wei,et al."Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints".INTERNATIONAL JOURNAL OF CONTROL 83.3(2010):642-650.

入库方式： OAI收割

来源：数学与系统科学研究院

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