Mean-variance portfolio selection with nonlinear wealth equations and
random coefficients
Mean-variance portfolio selection with nonlinear wealth equations and
random coefficients
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 …