Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints.
Wei YanShurong LiPublished in: Int. J. Control (2010)
Keyphrases
- portfolio selection
- numerical solution
- finite difference
- ordinary differential equations
- boundary value problem
- portfolio optimization
- differential equations
- financial markets
- linear systems
- partial differential equations
- finite element
- robust optimization
- taylor series
- exact solution
- optimal portfolio
- dynamical systems
- stock price
- active contours
- sufficient conditions
- linear programming
- image segmentation