| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4619362 | Journal of Mathematical Analysis and Applications | 2010 | 11 Pages |
Abstract
Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal wealth and portfolio is the solution of a forward-backward stochastic differential equation with constraints.
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