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- W4301746006 abstract "This paper studies the continuous time mean-variance portfolio selection problem with one kind of nonlinear wealth equations. This problem is tackled by a slightly generalization of linear quadratic (LQ) control technique. By introducing two new generalized stochastic Riccati equations, we obtain the optimal portfolio and the efficient frontier in closed forms. From our results, people are more likely to invest their money in riskless asset compared with the classical linear market. But when the interest rate is a random process, the generalized LQ method fails. So we explore another technique, i.e. the convex duality method to study the corresponding dual problem. When the interest rate is deterministic, the variance-optimal martingale measure is obtained, from which we find the links between the nonlinear financial market and the classical linear market. When the interest rate is random, the convex duality method can solve a sub-problem, but the whole problem is still open." @default.
- W4301746006 created "2022-10-05" @default.
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- W4301746006 date "2017-05-15" @default.
- W4301746006 modified "2023-09-26" @default.
- W4301746006 title "Mean-variance portfolio selection with nonlinear wealth equations and random coefficients" @default.
- W4301746006 hasPublicationYear "2017" @default.
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