Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations.
Shaolin JiXiaomin ShiPublished in: Syst. Control. Lett. (2017)
Keyphrases
- portfolio selection
- boundary value problem
- nonlinear partial differential equations
- stochastic differential equations
- portfolio optimization
- multiple objectives
- nonlinear equations
- portfolio management
- polynomial equations
- financial markets
- differential equations
- robust optimization
- optimal control
- markov chain
- benchmark problems
- optimal portfolio
- transaction costs
- finite difference
- dynamical systems
- partial differential equations
- optimal solution