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

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.