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

doi:10.1080/00207170903367284

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	Numerical solution of continuous-time mean-variance portfolio selection with nonlinear constraints
	Yan, Wei 1; Li, Shurong 2
	2010-03-01
发表期刊	INTERNATIONAL JOURNAL OF CONTROL
ISSN	0020-7179
卷号	83 期号:3 页码:642-650
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.
关键词	mean-variance criterion HJB equation numerical method Poisson process
DOI	10.1080/00207170903367284
语种	英语
WOS研究方向	Automation & Control Systems
WOS类目	Automation & Control Systems
WOS记录号	WOS:000275119900016
出版者	TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10485
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.