A simple solution to a continuous-time mean-variance portfolio selection via the mean-variance hedging

被引：0
|
作者：
Yoshida, Naohiro [1 ]
机构：
[1] Chuo Univ, Dept Ind & Syst Engn, Bunkyo Ku, 1-13-27 Kasuga, Tokyo 1128551, Japan
来源：
JSIAM LETTERS | 2019年 / 11卷
基金：
日本学术振兴会;
关键词：
mean-variance portfolio selection; continuous-time; mean-variance hedging; continuous semimartingale model; the Lagrange multiplier method;
D O I：
10.14495/jsiaml.11.25
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
In this paper, an explicit solution to a continuous-time mean-variance portfolio selection problem in a continuous semimartingale model is provided through the Lagrange multiplier method and results of a mean-variance hedging problem. Without reformulation of the problem which is usually employed in the literature, we get a more straightforward method of solution than earlier studies.
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页码：25 / 28
页数：4
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