Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10523939 | Operations Research Letters | 2014 | 6 Pages |
Abstract
This paper discusses a mean-variance portfolio selection problem under a constant elasticity of variance model. A backward stochastic Riccati equation is first considered. Then we relate the solution of the associated stochastic control problem to that of the backward stochastic Riccati equation. Finally, explicit expressions of the optimal portfolio strategy, the value function and the efficient frontier of the mean-variance problem are expressed in terms of the solution of the backward stochastic Riccati equation.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Yang Shen, Xin Zhang, Tak Kuen Siu,