标题:Recursive Mean-Variance Portfolio Choice Problems with Constrained Portfolios
作者:Lv Siyu; Wu Zhen; Zhuang Yi
通讯作者:Lv, SY
作者机构:[Lv Siyu; Wu Zhen; Zhuang Yi] Shandong Univ, Sch Math, Jinan 250100, Shandong, Peoples R China.
会议名称:34th Chinese Control Conference (CCC)
会议日期:JUL 28-30, 2015
来源:2015 34TH CHINESE CONTROL CONFERENCE (CCC)
出版年:2015
页码:2446-2449
关键词:Recursive utility; Mean-variance portfolio selection; Maximum principle;; Forward-backward stochastic system; Linear-convex optimal control; problem
摘要:This paper is concerned with a recursive mean-variance portfolio choice problem with constrained portfolios. There is a minimum constraint for portfolios. Treating this problem as a forward-backward stochastic linear-convex (LC) optimal control problem, we first study the general theory of LC optimal control problem by virtue of the maximum principle established recently by Wu [11], and then derive explicitly the optimal portfolio using the results we obtained.
收录类别:CPCI-S
资源类型:会议论文
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