英文标题：
《Continuous time mean-variance portfolio selection with nonlinear wealth
equations and random coefficients》
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作者：
Shaolin Ji, Hanqing Jin, Xiaomin Shi
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最新提交年份：
2017
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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 nonsmooth random coefficients and the dual method developed in [7] does not work. To apply the completion of squares technique, we introduce two Riccati equations to cope with the positive and negative part of the wealth process separately. We obtain the efficient portfolio strategy and efficient frontier for this problem. Finally, we find the appropriate sub-derivative claimed in [7] using convex duality method.
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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的随机系数，而文[7]中发展的对偶方法不起作用。为了应用平方完成技术，我们引入了两个Riccati方程来分别处理财富过程的正负部分。我们得到了该问题的有效投资组合策略和有效前沿。最后，我们使用凸对偶方法找到了文献[7]中声称的合适的次导数。
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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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