Title :
Recursive mean-variance portfolio choice problems with constrained portfolios
Author :
Siyu, Lv ; Zhen, Wu ; Yi, Zhuang
Author_Institution :
School of Mathematics, Shandong University, Shandong Province 250100, P.R. China
Abstract :
This paper is concerned with a recursive mean-variance portfolio choice problem with constrained portfolios. There is a minimum constraint for portfolios. Treating this problem as a forward-backward stochastic linear-convex (LC) optimal control problem, we first study the general theory of LC optimal control problem by virtue of the maximum principle established recently by Wu [11], and then derive explicitly the optimal portfolio using the results we obtained.
Keywords :
Differential equations; Finance; Optimal control; Optimization; Portfolios; Stochastic processes; Forward-backward stochastic system; Linear-convex optimal control problem; Maximum principle; Mean-variance portfolio selection; Recursive utility;
Conference_Titel :
Control Conference (CCC), 2015 34th Chinese
Conference_Location :
Hangzhou, China
DOI :
10.1109/ChiCC.2015.7260016
