英文标题：
《Explicit solutions for continuous time mean-variance portfolio selection
with nonlinear wealth equations》
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作者：
Shaolin Ji and Xiaomin Shi
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最新提交年份：
2016
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英文摘要：
This paper concerns the continuous time mean-variance portfolio selection problem with a special nonlinear wealth equation. This nonlinear wealth equation has a nonsmooth coefficient and the dual method developed in [6] does not work. We invoke the HJB equation of this problem and give an explicit viscosity solution of the HJB equation. Furthermore, via this explicit viscosity solution, we obtain explicitly the efficient portfolio strategy and efficient frontier for this problem. Finally, we show that our nonlinear wealth equation can cover three important cases.
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中文摘要：
本文研究了一类具有特殊非线性财富方程的连续时间均值-方差投资组合问题。这种非线性财富方程具有非光滑系数，而文献[6]中发展的对偶方法不起作用。我们调用该问题的HJB方程，并给出HJB方程的显式粘度解。此外，通过这个显式粘性解，我们明确地得到了该问题的有效投资组合策略和有效前沿。最后，我们证明了我们的非线性财富方程可以覆盖三种重要的情况。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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