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

DOI10.1080/00207170903367284zbMath1193.91145OpenAlexW2094366245MaRDI QIDQ3578798

Shu-Rong Li, Wei Yan

Publication date: 20 July 2010

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207170903367284

zbMATH Keywords

numerical methodHJB equationPoisson processmean-variance criterion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• A new domain decomposition method for an HJB equation.
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal portfolio selection when stock prices follow an jump-diffusion process
• Stochastic Verification Theorems within the Framework of Viscosity Solutions
• Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
• Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
• Mean-Variance Portfolio Selection with Random Parameters in a Complete Market