کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7109473 1460646 2016 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
ترجمه فارسی عنوان
انتخاب نمونه کارها با میانگین واریانس پیوسته با افق تصادفی در یک بازار ناقص
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
چکیده انگلیسی
In this paper, we consider a continuous-time mean-variance portfolio selection problem with random market parameters and random time horizon in an incomplete market. This problem will be formulated as a linearly constrained stochastic linear quadratic (LQ) optimal control problem. The solvability of this LQ problem will be reduced to the global solvability of two backward stochastic differential equations (BSDEs). One is conventionally called a stochastic Riccati equation (SRE), and the other is referred to as an auxiliary BSDE. We shall apply the martingales of bounded mean oscillation, briefly called BMO-martingales, to provide a direct and simplified proof of the solvability of the two BSDEs. We also derive closed-form expressions for both the optimal portfolios and the efficient frontier in terms of the solutions of the two BSDEs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Automatica - Volume 69, July 2016, Pages 176-180
نویسندگان
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