Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
Mean-variance portfolio selection with non-linear wealth dynamics and random coefficients
This paper studies the continuous time mean-variance portfolio selection problem with one kind of non-linear wealth dynamics. To deal with the expectation constraint, an auxiliary stochastic control problem is firstly solved by two new generalized stochastic Riccati equations from which a candidate portfolio in feedback form is constructed, and the …