Article ID Journal Published Year Pages File Type
1156316 Stochastic Processes and their Applications 2008 16 Pages PDF
Abstract

A terminal perturbation method is introduced to study the backward approach to continuous time mean–variance portfolio selection with bankruptcy prohibition in a complete market model. Using Ekeland’s variational principle, we obtain a necessary condition, i.e. the stochastic maximum principle, which the optimal terminal wealth satisfies. This method can deal with nonlinear wealth equation with bankruptcy prohibition and several examples are given to show applications of our results.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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