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

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Author(s)

Abstract

<p>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.</p>

Journal

  • JSIAM Letters

    JSIAM Letters 11(0), 25-28, 2019

    The Japan Society for Industrial and Applied Mathematics

Codes

  • NII Article ID (NAID)
    130007608273
  • Text Lang
    ENG
  • ISSN
    1883-0609
  • Data Source
    J-STAGE 
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