Two approaches for mean-variance portfolio selection
problems with random nonlinear coefficients
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This presentation concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has nonsmooth random coefficients and the dual method developed in Ji 2010 does not work. Applying the completion of squares method, we find that our problem can be solved by studying the positive and negative parts of the wealth process separately. By introducing two new generalized stochastic Riccati equations, we obtain the optimal portfolio and the efficient frontier in closed forms. In order to obtain the characterization of the optimal wealth directly, we employ the convex duality method and deduce the optimal terminal wealth. Finally, we show that the completion of squares method and the convex duality method are closely related. This is a joint work with Hanqing Jin and Xiaomin Shi.
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嵇少林 |
11月27日下午 2:30开始 |
知新楼
B1238
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