OPTIMAL PORTFOLIO ON TRACKING THE EXPECTED WEALTH PROCESS WITH LIQUIDITY CONSTRAINTS

被引：0
|
作者：
Luo Kui [1 ]
Wang Guangming [2 ]
Hu Yijun [3 ]
机构：
[1] Shenzhen Polytech, Ind Training Ctr, Shenzhen 518055, Peoples R China
[2] China Merchants Bank, Shenzhen 518040, Peoples R China
[3] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China
来源：
ACTA MATHEMATICA SCIENTIA | 2011年 / 31卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Portfolio selection; wealth tracking; liquidity constraints; HJB equation; Lagrange multiplier; SELECTION;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
In this article, the authors consider the optimal portfolio on tracking the expected wealth process with liquidity constraints. The constrained optimal portfolio is first formulated as minimizing the cumulate variance between the wealth process and the expected wealth process. Then, the dynamic programming methodology is applied to reduce the whole problem to solving the Hamilton-Jacobi-Bellman equation coupled with the liquidity constraint, and the method of Lagrange multiplier is applied to handle the constraint. Finally, a numerical method is proposed to solve the constrained HJB equation and the constrained optimal strategy. Especially, the explicit solution to this optimal problem is derived when there is no liquidity constraint.
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页码：483 / 490
页数：8
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