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...
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| Veröffentlicht in: | International journal of control 2010-03, Vol.83 (3), p.642-650 |
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| container_title | International journal of control |
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| creator | Yan, Wei Li, Shurong |
| description | 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. |
| doi_str_mv | 10.1080/00207170903367284 |
| format | Article |
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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.</description><subject>Applied sciences</subject><subject>Exact sciences and technology</subject><subject>HJB equation</subject><subject>mean-variance criterion</subject><subject>numerical method</subject><subject>Operational research and scientific management</subject><subject>Operational research. 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| subjects | Applied sciences Exact sciences and technology HJB equation mean-variance criterion numerical method Operational research and scientific management Operational research. Management science Operations research Poisson process Portfolio theory Studies |
| title | Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints |
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